Iterative thresholding is a dominating strategy for sparse optimization problems. The main goal of iterative thresholding methods is to find a so-called -sparse solution. However, the setting of regularization parameters or the estimation of the true sparsity are nontrivial in iterative thresholding methods. To overcome this shortcoming, we propose a preference-based multiobjective evolutionary approach to solve sparse optimization problems in compressive sensing. Our basic strategy is to search the knee part of weakly Pareto front with preference on the true -sparse solution. In the noiseless case, it is easy to locate the exact position of the -sparse solution from the distribution of the solutions found by our proposed method. Therefore, our method has the ability to detect the true sparsity. Moreover, any iterative thresholding methods can be used as a local optimizer in our proposed method, and no prior estimation of sparsity is required. The proposed method can also be extended to solve sparse optimization problems with noise. Extensive experiments have been conducted to study its performance on artificial signals and magnetic resonance imaging signals. Our experimental results have shown that our proposed method is very effective for detecting sparsity and can improve the reconstruction ability of existing iterative thresholding methods.