Selective laser melting (SLM) is a unique additive manufacturing (AM) category that can be used to manufacture mechanical parts. It has been widely used in aerospace and automotive using metal or alloy powder. The build orientation is crucial in AM because it affects the as-built part, including its part accuracy, surface roughness, support structure, and build time and cost. A mechanical part is usually composed of multiple surface features. The surface features carry the production and design knowledge, which can be utilized in SLM fabrication. This study proposes a method to determine the build orientation of multi-feature mechanical parts (MFMPs) in SLM. First, the surface features of an MFMP are recognized and grouped for formulating the particular optimization objectives. Second, the estimation models of involved optimization objectives are established, and a set of alternative build orientations (ABOs) is further obtained by many-objective optimization. Lastly, a multi-objective decision making method integrated by the technique for order of preference by similarity to the ideal solution and cosine similarity measure is presented to select an optimal build orientation from those ABOs. The weights of the feature groups and considered objectives are achieved by a fuzzy analytical hierarchy process. Two case studies are reported to validate the proposed method with numerical results, and the effectiveness comparison is presented. Physical manufacturing is conducted to prove the performance of the proposed method. The measured average sampling surface roughness of the most crucial feature of the bracket in the original orientation and the orientations obtained by the weighted sum model and the proposed method are 15.82, 10.84, and 10.62 μm, respectively. The numerical and physical validation results demonstrate that the proposed method is desirable to determine the build orientations of MFMPs with competitive results in SLM.