MDS self-dual codes have good algebraic structure, and their parameters are completely determined by the code length. In recent years, the construction of MDS Euclidean self-dual codes with new lengths has become an important issue in coding theory. In this paper, we are committed to constructing new MDS Euclidean self-dual codes via generalized Reed-Solomon (GRS) codes and their extended (EGRS) codes. The main effort of our constructions is to find suitable subsets of finite fields as the evaluation sets, ensuring that the corresponding (extended) GRS codes are Euclidean self-dual. Firstly, we present a method for selecting evaluation sets from multiple intersecting subsets and provide a theorem to guarantee that the chosen evaluation sets meet the desired criteria. Secondly, based on this theorem, we construct six new classes of MDS Euclidean self-dual codes using the norm function, as well as the union of three multiplicity subgroups and their cosets respectively. Finally, in our constructions, the proportion of possible MDS Euclidean self-dual codes exceeds 85\%, which is much higher than previously reported results.
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