The invention discloses a multi-step prediction method and system of future wind speed based on automatic reservoir neural network, realizes accurate and fast multi-step prediction of future information, maintains high robustness to noise and system time-varying, and avoids over-fitting problems. The technical scheme is: for short-term high-dimensional wind speed data, based on the delay embedding theory, the observed high-dimensional dynamics is used as the reservoir by using space-time information transformation, and the high-dimensional wind speed data is mapped to the future information of the target variable. The automatic reservoir neural network realizes the multi-step prediction of the target variable by solving a pair of conjugate space-time information interaction equations.