The multiple objectives and the sequence-dependent setup times are considered in the permutation flowshop scheduling problem. The extension of conventional single-objective iterated local search (ILS) to solve multi-objective combinatorial optimization problem. A Pareto based variable depth search is designed to act as the multi-objective local search phase in the multi-objective ILS. The experimental results on some benchmark problems show that the proposed multi-objective ILS outperforms several powerful multi-objective evolutionary algorithms in the literature. A multi-objective iterated local search is proposed.