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In this paper, we introduce multiple skew-orthogonal polynomials and investigate their connections with classical integrable systems. By using Pfaffian techniques, we show that multiple skew-orthogonal polynomials can be expressed by multi-component Pfaffian tau-functions upon appropriate deformations. Moreover, a two-component Pfaff lattice hierarchy, which is equivalent to the Pfaff–Toda hierarchy studied by Takasaki, is obtained by considering the recurrence relations and Cauchy transforms of multiple skew-orthogonal polynomials. [ABSTRACT FROM AUTHOR]