Multi-AUV cooperative target search problem in unknown 3D underwater environment is not only a research hot spot but also a challenging task. To complete this task, each autonomous underwater vehicle (AUV) needs to move quickly without collision and cooperate with other AUVs to find the target. In this paper, an improved dolphin swarm algorithm- (DSA-) based approach is proposed, and the search problem is divided into three stages, namely, random cruise, dynamic alliance, and team search. In the proposed approach, the Levy flight method is used to provide a random walk for AUV to detect the target information in the random cruise stage. Then the self-organizing map (SOM) neural network is used to build dynamic alliances in real time. Finally, an improved DSA algorithm is presented to realize the team search. Furthermore, some simulations are conducted, and the results show that the proposed approach is capable of guiding multi-AUVs to achieve the target search task in unknown 3D underwater environment efficiently.