Traditional intuitionistic fuzzy sets and hesitant fuzzy sets will lose some information while representing vague information, to avoid this problem, this paper constructs weighted generalized hesitant fuzzy sets by remaining multiple intuitionistic fuzzy values and giving them corresponding weights. For weighted generalized hesitant fuzzy elements in weighted generalized hesitant fuzzy sets, the paper defines some basic operations and proves their operation properties. On this basis, the paper gives the comparison rules of weighted generalized hesitant fuzzy elements and presents two kinds of aggregation operators. As for weighted generalized hesitant fuzzy preference relation, this paper proposes its definition and computing method of its corresponding consistency index. Furthermore, the paper designs an ensemble learning algorithm based on weighted generalized hesitant fuzzy sets, carries out experiments on 6 datasets in UCI database and compares with various classification algorithms. The experiments show that the ensemble learning algorithm based on weighted generalized hesitant fuzzy sets has better performance in all indicators.