Tungsten heavy alloys (WHAs) are an extremely hard-to-machine material extensively used in demanding applications such as missile liners, aerospace, and optical molds. However, the machining of WHAs remains a challenging task as a result of their high density and elastic stiffness which lead to the deterioration of the machined surface roughness. This paper proposes a brand-new multi-objective dung beetle algorithm. It does not take the cutting parameters (i.e., cutting speed, feed rate, and depth of cut) as the optimization objects but directly optimizes cutting forces and vibration signals monitored using a multi-sensor (i.e., dynamometer and accelerometer). The cutting parameters in the WHA turning process are analyzed through the use of the response surface method (RSM) and the improved dung beetle optimization algorithm. Experimental verification shows that the algorithm has better convergence speed and optimization ability compared with similar algorithms. The optimized forces and vibration are reduced by 9.7% and 46.47%, respectively, and the surface roughnessRaof the machined surface is reduced by 18.2%. The proposed modeling and optimization algorithms are anticipated to be powerful to provide the basis for the parameter optimization in the cutting of WHAs.