With the financial liberalization and globalization, China’s financial system has been deepening, the scale of the stock market has been expanding, and the stock market bubble problem has gradually emerged. The overinflated stock market bubble will undoubtedly increase the risk of the stock market, seriously threaten the stability of the financial system, and even bring disastrous consequences to the economic system. Therefore, the stock market bubble warning evaluation is very important. In the case of considering stock market bubble warning evaluation, the fundamental issues involve strong fuzziness. Picture fuzzy set, depicted by three memberships (positive membership, neutral membership and negative membership), is a more resultful means for capturing fuzziness. In this paper, the novel picture fuzzy score function is given for dealing the comparison problem. Then, the objective weights are calculated by Renyi entropy method. Meanwhile, we develop combined weights, which can reflect both subjective preference and objective preference. Moreover, the picture fuzzy decision making algorithm based on Combined Compromise Solution is presented. Finally, the feasibility of algorithm is stated by the stock market bubble warning evaluation issue. The salient features of the proposed algorithm are that they have no counter-intuitive cases and antilogarithm or division by zero issues.