The combination of two elements in a group structure is an element, while, in a hypergroup, the combination of two elements is a non-empty set. The use of hypergroups appears mainly in certain subclasses. For instance, polygroups, which are a special subcategory of hypergroups, are used in many branches of mathematics and basic sciences. On the other hand, in a multi-fuzzy set, an element of a universal set may occur more than once with possibly the same or different membership values. A soft set over a universal set is a mapping from parameters to the family of subsets of the universal set. If we substitute the set of all fuzzy subsets of the universal set instead of crisp subsets, then we obtain fuzzy soft sets. Similarly, multi-fuzzy soft sets can be obtained. In this paper, we combine the multi-fuzzy soft set and polygroup structure, from which we obtain a new soft structure called the multi-fuzzy soft polygroup. We analyze the relation between multi-fuzzy soft sets and polygroups. Some algebraic properties of fuzzy soft polygroups and soft polygroups are extended to multi-fuzzy soft polygroups. Some new operations on a multi-fuzzy soft set are defined. In addition to this, we investigate normal multi-fuzzy soft polygroups and present some of their algebraic properties.