The burgeoning area of security games has focused on real-world domains where security agencies protect critical infrastructure from a diverse set of adaptive adversaries. There are security domains where the payoffs for preventing the different types of adversaries may take different forms (seized money, reduced crime, saved lives, etc) which are not readily comparable. Thus, it can be difficult to know how to weigh the different payoffs when deciding on a security strategy. To address the challenges of these domains, we propose a fundamentally different solution concept, multi-objective security games (MOSG), which combines security games and multi-objective optimization. Instead of a single optimal solution, MOSGs have a set of Pareto optimal (non-dominated) solutions referred to as the Pareto frontier. The Pareto frontier can be generated by solving a sequence of constrained single-objective optimization problems (CSOP), where one objective is selected to be maximized while lower bounds are specified for the other objectives. Our contributions include: (i) an algorithm, Iterative e-Constraints, for generating the sequence of CSOPs; (ii) an exact approach for solving an MILP formulation of a CSOP (which also applies to multi-objective optimization in more general Stackelberg games); (iii) heuristics that achieve speedup by exploiting the structure of security games to further constrain a CSOP; (iv) an approximate approach for solving an algorithmic formulation of a CSOP, increasing the scalability of our approach with quality guarantees. Additional contributions of this paper include proofs on the level of approximation and detailed experimental evaluation of the proposed approaches. Copyright © 2012, International Foundation for Autonomous Agents and Multiagent Systems (www.ifaamas.org). All rights reserved.