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When the matrix equations are consistent, for any initial generalized reflexive matrix pair \\([X_1, Y_1]\\), the generalized reflexive solutions can be obtained by the iterative algorithm within finite iterative steps in the absence of round-off errors, and the least Frobenius norm generalized reflexive solutions can be obtained by choosing a special kind of initial matrix pair. The unique optimal approximation generalized reflexive solution pair \\([\\hat{X}, \\hat{Y}]\\) to a given matrix pair \\([X_0, Y_0]\\) in Frobenius norm can be derived by finding the least-norm generalized reflexive solution pair \\([\\tilde{X}^\\ast, \\tilde{Y}^\\ast]\\) of a new corresponding generalized coupled Sylvester matrix equation pair \\((A\\tilde{X}B - C\\tilde{Y}D, E\\tilde{X}F - G\\tilde{Y}H) = (\\tilde{M}, \\tilde{N})\\), where \\(\\tilde{M} = M - AX_0B + CY_0D, \\tilde{N} = N - EX_0F + GY_0H\\). Several numerical examples are given to show the effectiveness of the presented iterative 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