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In practical application, the pursuit-evasion game (PEG) often involves multiple complex and conflicting objectives. The single-objective reinforcement learning (RL) usually focuses on a single optimization objective, and it is difficult to find the optimal balance among multiple objectives. This paper proposes a three-objective RL algorithm based on fuzzy Q-learning (FQL) to solve the PEG with different optimization objectives. First, the multi-objective FQL algorithm is introduced, which uses the reward function to represent three optimization objectives: evading pursuit, reaching target, and avoiding obstacle. Second, a multi-objective evaluation method and action selection strategy based on three-dimensional hypervolume are designed, which solved the dilemma of exploration-exploitation. By sampling the Pareto front, the update rule of the global strategy is obtained. The proposed algorithm reduces computational load while ensuring exploration ability. Finally, the performance of the algorithm is verified by simulation results.