Standard Object:

Go to Setup – App Setup – Customize – Standard Object – Fields – Picklist or Multi-select Picklist Field

Custom Object:

Go to Setup – App Setup – Create – Object – Fields – Picklist or Multi-select Picklist Field

• Click Reorder button on the Picklist Field under the Picklist Values Section.
• There will be a checkbox – “Sort values alphabetically. Values will be displayed alphabetically everywhere.”
• Check on it and then click Save.
• And now you can find Picklist or Multi-select Picklist Field values are in alphabetical order.