With the rapid development of the economy, data have become a new production factor and strategic asset, enhancing efficiency and energy for technological innovation and industrial upgrading in enterprises. The evaluation of enterprise digital asset value (EDAV) is a typical multi-attribute decision-making (MADM) problem. Generalized hesitant fuzzy numbers (GHFNs) can better express the uncertainty and fuzziness of evaluation indexes, thus finding wide applications in MADM problems. In this paper, we first propose the Kullback–Leibler (K-L) divergence distance of GHFNs and prove its mathematical properties. Second, recognizing that decision-makers often have finite rationality in practical problems, we combine the cumulative prospect theory (CPT) with the Complex Proportional Assessment (COPRAS) method to propose the GHF-CPT-COPRAS model for solving MADM problems. Simultaneously, we extend the distance correlation-based Criteria Importance Through Intercriteria Correlation (D-CRITIC) method to the GHF environment to rationally calculate the weights of attributes in the EDAV evaluation problem. Finally, we apply the proposed GHF-CPT-COPRAS model to the EDAV evaluation problem and compare it with existing GHF decision-making methods to verify its effectiveness and feasibility. This study provides an important reference for addressing the EDAV assessment problem within an uncertain fuzzy environment and extends its application methods in the decision-making field.