Coreset selection is powerful in reducing computational costs and accelerating data processing for deep learning algorithms. It strives to identify a small subset from large-scale data, so that training only on the subset practically performs on par with full data. When coreset selection is applied in realistic scenes, under the premise that the identified coreset has achieved comparable model performance, practitioners regularly desire the identified coreset can have a size as small as possible for lower costs and greater acceleration. Motivated by this desideratum, for the first time, we pose the problem of "coreset selection with prioritized multiple objectives", in which the smallest coreset size under model performance constraints is explored. Moreover, to address this problem, an innovative method is proposed, which maintains optimization priority order over the model performance and coreset size, and efficiently optimizes them in the coreset selection procedure. Theoretically, we provide the convergence guarantee of the proposed method. Empirically, extensive experiments confirm its superiority compared with previous strategies, often yielding better model performance with smaller coreset sizes.