Population initialization is always needed in evolutionary multi-objective optimization (EMO) algorithms. Intuitively, a well-designed initialization method can help facilitate the evolutionary process and improve the performance of EMO algorithms. However, very few studies have investigated the effects of initialization methods on the performance of EMO algorithms. Many existing EMO algorithms randomly generate an initial population to start the evolutionary process. To fill this research gap and attract more attention from EMO researchers to this important yet under-explored issue, in this paper, we examine the effects of various initialization methods that may become promising alternatives to the commonly-used random initialization method. Each initialization method is evaluated through computational experiments on test problems of various sizes with 5–1000 decision variables. Experimental results clearly demonstrate the advantage of well-designed initialization methods over the random initialization method. This study provides useful insights into EMO algorithm design and motivates further research on population initialization.