This paper focuses on feature generation (FG) for improving the prediction performance of scientific data. Existing feature generation methods have the problems of expertise and computational cost for generating high-dimensional feature combinations. In this paper, we propose a multi-agent feature generation (MAFG) framework based on the data-driven artificial intelligence (DCAI) paradigm. MAFG is an iterative exploration process in which multiple agents generate high-dimensional feature combinations through reinforcement learning and evaluate the generated features using a large-scale language model (LLM). Experimental results show that the MAFG framework automates the feature generation process and improves the performance in scientific data analysis tasks.