How do I assign multiple labels at once in matplotlib?

It is not possible to plot those two arrays agains each other directly (with at least version 1.1.1), therefore you must be looping over your y arrays. My advice would be to loop over the labels at the same time:

import matplotlib.pyplot as plt

x = [0, 1, 2, 3, 4]
y = [ [0, 1, 2, 3, 4], [5, 6, 7, 8, 9], [9, 8, 7, 6, 5] ]
labels = ['foo', 'bar', 'baz']

for y_arr, label in zip(y, labels):
    plt.plot(x, y_arr, label=label)

plt.legend()
plt.show()

Edit: @gcalmettes pointed out that as numpy arrays, it is possible to plot all the lines at the same time (by transposing them). See @gcalmettes answer & comments for details.

You can iterate over your line objects list, so labels are individually assigned. An example with the built-in python iter function:

lineObjects = plt.plot(x, y)
plt.legend(iter(lineObjects), ('foo', 'bar', 'baz'))`

Edit: after updating to matplotlib 1.1.1, it looks like the plt.plot(x, y), with y as a list of lists (as provided by the author of the question), doesn't work anymore. The one step plotting without iteration over the y arrays is still possible thought after passing y as numpy.array (assuming (numpy)[http://numpy.scipy.org/] as been previously imported).

In this case, use plt.plot(x, y) (if the data in the 2D y array are arranged as columns [axis 1]) or plt.plot(x, y.transpose()) (if the data in the 2D y array are arranged as rows [axis 0])

Edit 2: as pointed by @pelson (see commentary below), the iter function is unnecessary and a simple plt.legend(lineObjects, ('foo', 'bar', 'baz')) works perfectly