The Taiwan Strait contains a vast potential for wind energy. However, the power grid balance is challenging due to wind energy’s uncertainty and intermittent nature. Wind speed forecasting reduces this risk, increasing the penetration rate. Machine learning (ML) models are adopted in this study for the short-term prediction of wind speed based on the complex nonlinear relationships among wind speed, terrain, air pressure, air temperature, and other weather conditions. Feature selection is crucial for ML modeling. Finding more valuable features in observations is the key to improving the accuracy of prediction models. The random forest method was selected because of its stability, interpretability, low computational cost, and immunity to noise, which helps maintain focus on investigating the essential features from vast data. In this study, several new exogenous features were found on the basis of physics and the spatiotemporal correlation of surrounding data. Apart from the conventional input features used for wind speed prediction, such as wind speed, wind direction, air pressure, and air temperature, new features were identified through the feature importance of the random forest method, including wave height, air pressure difference, air-sea temperature difference, and hours and months, representing the periodic components of time series analysis. The air–sea temperature difference is proposed to replace the wind speed difference to represent atmosphere stability due to the availability and adequate accuracy of the data. A random forest and an artificial neural network model were created to investigate the effectiveness and generality of these new features. Both models are superior to persistence models and models using only conventional features. The random forest model outperformed all models. We believe that time-consuming and tune-required sophisticated models may also benefit from these new features.