While both games and Multi-Objective Optimization (MOO) have been studied extensively in the literature, Multi-Objective Games (MOGs) have received less research attention. Existing studies deal mainly with mathematical formulations of the optimum. However, a definition and search for the representation of the optimal set, in the multi objective space, has not been attended. More specifically, a Pareto front for MOGs has not been defined or searched for in a concise way. In this paper we define such a front and propose a set-based multi-objective evolutionary algorithm to search for it. The resulting front, which is shown to be a layer rather than a clear-cut front, may support players in making strategic decisions during MOGs. Two examples are used to demonstrate the applicability of the algorithm. The results show that artificial intelligence may help solve complicated MOGs, thus highlighting a new and exciting research direction.