Feature selection is a crucial step in data mining to enhance model performance by reducing data dimensionality. However, the increasing dimensionality of collected data exacerbates the challenge known as the “curse of dimensionality”, where computation grows exponentially with the number of dimensions. To tackle this issue, evolutionary computational (EC) approaches have gained popularity due to their simplicity and applicability. Unfortunately, the diverse designs of EC methods result in varying abilities to handle different data, often underutilizing and not sharing information effectively. In this article, we propose a novel approach called PSO-based Multi-task Evolutionary Learning (MEL) that leverages multi-task learning to address these challenges. By incorporating information sharing between different feature selection tasks, MEL achieves enhanced learning ability and efficiency. We evaluate the effectiveness of MEL through extensive experiments on 22 high-dimensional datasets. Comparing against 24 EC approaches, our method exhibits strong competitiveness. In addition, we have open-sourced our code on GitHub.