Power sharing can improve the benefit of the multi-microgrid (MMG) system. However, the information disclosure may appear during the sharing process, which would bring privacy risk to a local microgrid. Actually, the risk and coordination cost are different in different sharing modes. Therefore, this paper develops a decision-making method to decide the most suitable one of three mostly used sharing modes (i.e., cooperative game with complete information, cooperative game with incomplete information, and noncooperative game). Firstly, power sharing paradigms and coordination mechanisms in the three modes are formulated in detail. Particularly, different economic operation models of MMG system are included to analyze the economic benefit from different sharing modes. Based on the different disclosed information, the risk cost is evaluated by using the simplified fuzzy analytic hierarchy process (FAHP). And the coordination cost for different sharing modes is expressed in different functions. In addition, a hierarchical evaluation system including three decision-making factors (e.g., economics, risk, and coordination) is set up. Meanwhile, a combination weighting method (e.g., the simplified FAHP combined with the anti-entropy weight method) is applied to obtain the weight of each factor for comprehensive evaluation. Finally, the optimal sharing solution of MMG system is decided by comparing and analyzing the difference among the three sharing modes. Numerical results validate that the proposed method can provide a reference to deciding a suitable sharing mode.