This paper explores the use of a multi-objective approach through the implementation of a numerical direct multiple shooting (MS) method to solve optimal control problems (OCP). When a direct MS method is used to solve the OCP, a set of `continuity constraints' emerges and should be satisfied together with the other algebraic mixed states and control constraints. To minimize the objective function and satisfy all the constraint conditions, the finite-dimensional optimization problem is reformulated as a multi-objective problem with three objectives to be optimized. An illustrative example is included to show that the present methodology is worth pursuing.