We introduced a decision tree method called Random Forests for multi-wavelength data classification. The data were adopted from different databases, including the Sloan Digital Sky Survey (SDSS) Data Release five, USNO, FIRST and ROSAT. We then studied the discrimination of quasars from stars and the classification of quasars, stars and galaxies with the sample from optical and radio bands and with that from optical and X-ray bands. Moreover, feature selection and feature weighting based on Random Forests were investigated. The performances based on different input patterns were compared. The experimental results show that the random forest method is an effective method for astronomical object classification and can be applied to other classification problems faced in astronomy. In addition, Random Forests will show its superiorities due to its own merits, e.g. classification, feature selection, feature weighting as well as outlier detection.