The invention discloses a method for measuring harmonics and interharmonics of electric power system through spectrum estimation and cross correlation. The method comprises the following steps of constructing an electric power system waveform which comprises a plurality of harmonics and interharmonics, sampling the electric power system waveform, forming a sampling sequence, performing power spectrum analysis on the sampling sequence by means of spectrum estimation, solving an autoregression spectrum estimation model, and obtaining numbers and frequencies of fundamental waves, harmonics and interharmonics; constructing a reference signal by means of the frequency of the measured harmonic or interharmonic, and measuring the amplitude of the measured signal according to a cross correlation function. According to the method of the invention, the numbers and the frequencies of the harmonics and the interharmonics of a measured electrical node by means of spectrum estimation; and a reference signal of each harmonic or the interharmonic is constructed based on the measured frequency of each harmonic and interharmonic, and the amplitude is of the harmonic or the interharmonic is measured. The method has advantages of high computing speed, high interference resistance and high precision.