The invention discloses a method for predicting the short-term wind power probability density based on the EWT quantile regression forest. The method comprises the steps of 1) decomposing an originalwind power sequence into a series of mutually different feature empirical modes by using the empirical wavelet transform (EWT); 2) recombining the empirical modes according to a frequency range to form high frequency, intermediate frequency and low frequency components; 3) select an input variable for each component by using the Pearson correlation coefficient; 4) establishing a quantile regression forest prediction model for each component, and obtaining regression prediction results of different quantile points; 5) superposing the prediction results of the components to obtain a wind power prediction value; and 6) obtaining the prediction of the wind power probability density by nuclear density estimation. The method provided by the invention effectively improves the prediction precisionof the wind power, obtains the prediction of the wind power probability density at any moment, and can well solve the wind power prediction problem in a power system.