You can work on more than one mission at a time in Borderlands 2

Missions can be marked as "Active" and your HUD will display the waypoints for your active missions. You can change your active mission in the mission log section of your ECHO device.

After accessing your ECHO device, highlight the mission you want to activate and press button to mark it active.

Changing your active mission in Borderlands 2

The Objectives on your HUD pertain to your active mission. You can change your active mission by using the mission log in your ECHO device.