Low-efficiency is an important issue in "plug and play" quantum key distribution system for practical application. The inefficient reasons of system and the current solutions are analyzed. And then a new quantum key distribution scheme with multi-wavelength pulses is proposed, in which a broadband optical source and the WDMs are combined to generate the optical pulses with four wavelengths. Moreover, the WDMs can also be used as a filter to extract the signal in the proposed scheme. Compared with other schemes, this scheme is highly stable, more securate and independent of the response speed of the control systems. The scheme can be used in high efficiency "plug and play" quantum key distribution system in practice.