The aim of this chapter is to study the stability of multi-objective dynamic programming (MODP) problems with fuzzy parameters in the objective functions and in the constraints. These fuzzy parameters are characterized by fuzzy numbers. For such problems, the concept and notion of the stability set of the first kind in parametric nonlinear programming problems are redefined and analyzed qualitatively under the concept of α-Pareto optimality. An interactive fuzzy decision-making algorithm for the determination of any subset of the parametric space that has the same corresponding α-Pareto optimal solution is proposed. A numerical example is given to illustrate the method developed in the chapter.