An all-normal-dispersion multi-wavelength mode-locked dissipative soliton Yb-doped fiber laser with a periodic birefringence fiber filter is investigated in this paper. Numerical simulations show that multi-wavelength dissipative solitons can be generated by adding a filter into the fiber laser, and adjusting the bandwidth of filter can generate multi-wavelength dissipative solitons with different wavelength numbers and separations. Dissipative soliton molecules (DSM) can be observed in four- and five-wavelength dissipative solitons. Adjusting the parameters of the filter and saturation power can change the number and wavelength of DSM in the multi-wavelength pulses. This is the first time that multi-wavelength mode-locked dissipative solitons with DSM generated from mode-locked fiber laser have been observed, and that the dual-wavelength mode-locked disspative solitons have been obtained from an all-normal-dispersion Yb-doped fiber laser in experiment.