There are uncertainties in load demands and renewable energy outputs of wind turbine and photovoltaic. These factors bring great challenges to the stable operation of microgrids. In view of the characteristic, firstly, the uncertainty set of the constraints is constructed and the operating cost and the environmental cost are considered. Thus, the multi-objective robust scheduling model of the microgrid is built. Also, robust uncertainty budget is introduced to adjust the conservatism of the uncertainty set. Secondly, an improved and nonlinear multi-objective cuckoo search algorithm based on Pareto domination is used to solve the Pareto optimal solution set. Based on multi-objective grey target decision-making, the satisfactory solution is selected from the optimal solution set. Finally, the scheduling model for a small microgrid is established and solved. The simulation results are compared to verify the reliability and validity of the proposed method. This work is supported by Shanghai Engineering Research Center of Green Energy Grid-Connected Technology (No. 13DZ2251900) and National Natural Science Foundation of China (No. 51377104).