This paper extends an existing cooperative multi‐objective interaction programming problem with interaction constraint for two players (or two agents). First, we define an s‐optimal joint solution with weight vector to multi‐objective interaction programming problem with interaction constraint for two players and get some properties of it. It is proved that the s‐optimal joint solution with weight vector to the multi‐objective interaction programming problem can be obtained by solving a corresponding mathematical programming problem. Then, we define another s‐optimal joint solution with weight value to multi‐objective interaction programming problem with interaction constraint for two players and get some of its properties. It is proved that the s‐optimal joint solution with weight vector to multi‐objective interaction programming problem can be obtained by solving a corresponding mathematical programming problem. Finally, we build a pricing multi‐objective interaction programming model for a bi‐level supply chain. Numerical results show that the interaction programming pricing model is better than Stackelberg pricing model and the joint pricing model.