Supplier selection is one of the most crucial strategic problems to set up a successful supply chain relationship. However, due to rapid changes in the management environment, decision makers often experience lack of information necessary for an exact decision. This paper suggests an integrated MCDM (Multi-Criteria Decision Making) method, using DS/AHP (Dempster-Shafer/Analytic Hierarchy Process) and GRA (Grey Relational Analysis), to deal with lack of information in the supplier selection problem. To obtain the decision matrix, the Dempster-Shafer rule of combination is used with the basic probability assignments (BPA) and the plausibility function. Furthermore, the degree of relations for suppliers are obtained by multiplying grey relational coefficients with inequal weights of criteria. The proposed method is investigated by a numerical example for its applicability and validation.