This paper describes an Integrated Intelligent Optimization (IIO) Software System, which has been developed based on the theory and technique of Intelligence Engineering. IIO has provided an environment for a series of automatic processing on optimization models given by users, such as preprocess of mathematical models, algorithm selection, parameter adjustment, numerical process monitoring and debugging, error analysis of optimal results, sensitivity analysis, as well as contour drawing and so on. In the paper we also discuss the structure of object-oriented knowledge-base, the acguisition and representation of knowledge about algorithms, parameters and postprocessing of optimal results. The IIO has been built in C and C++ within Windows 3.0 environment, and implemented on PC/386 platform. A complete example of applying the IIO system to a real world optimization problem has been described, which has shown a great promising of the new system.