A method for estimating a state of a combined heat and power system is provided. The method include: establishing an objective function; establishing constraints under a steady-state operating stage; converting the objective function and the constraints by utilizing a Lagrangian multiplier to obtain a Lagrange function; obtaining a steady-state estimation result of the combined heat and power system based on the Lagrange function; calculating an energy transmission delay produced by each pipe; establishing a dynamic constraint of each pipe based on the steady-state estimation result and the energy transmission delay; converting the objective function, the constraints, and the dynamic constraint by utilizing the Lagrangian multiplier to update the Lagrange function; obtaining a dynamic-state estimation result of the combined heat and power system during a dynamic-state operating stage of the combined heat and power system based on the updated Lagrange function.