Feature selection is a crucial step in the model-building pipeline in machine learning (ML) applications such as Electroencephalogram (EEG) signal processing, providing benefits on model performance and computational efficiency. EEG signals play a pivotal role in elucidating human nature through promising ML mechanisms. However, extracting a large number of features from the EEG signals can be a challenge of efficient EEG processing. A multi-objective feature selection strategy applied to the extracted features from EEG signals can simultaneously improve the accuracy of the process and reduce the number of features. However, the high dimensionality of the EEG feature vectors actually diminishes the exploration capabilities of multi-objective algorithms, impeding their real-world applicability. Hence, we propose a novel correlation-based multi-objective feature selection (COR-MFS) method, that aims to reduce dimensionality before applying the multi-objective algorithm. In the initial phase, a correlation-based dimension re-duction method is applied to filter the most relevant features with highest correlation with the class label. Subsequently, a multi-objective feature selection algorithm is applied to the shrunk search space enhancing optimization efficiency and facilitating the search process. We evaluated the proposed COR-MFS method using six large-scale EEG datasets and observed significant improvements compared to the stand-alone multi-objective feature selection. This underscores the effectiveness of our innovative framework in providing more accurate solutions with fewer number of features for extensive EEG-based classification tasks.