The trajectory prediction of the hypersonic glide vehicle (HGV) can provide hit point information for early warning systems, which is of great significance for near‐space defence operations. However, the heavy‐tailed noise caused by abnormal environmental disturbance and abrupt changes in vehicle trajectory seriously affects the accuracy of HGV trajectory prediction. To solve the problem of trajectory prediction for HGV under heavy‐tailed noise, we propose an adaptive multivariate Student's t‐process regression method called aEM‐MVTPR. Firstly, a heavy‐tailed noise model is developed using the Student's t‐distribution. Secondly, a multivariate Student's t‐process regression (MVTPR) for HGV trajectory prediction is derived, and the method can learn the HGV trajectory time series features and mine the correlations among the trajectory variables. Finally, to further improve the method's robustness, we use the accelerated expectation maximisation algorithm and Pearson correlation analysis to adaptively estimate and adjust the initial values of the MVTPR parameters. The simulation experimental results show that the proposed method has more accurate predicted values of trajectory variables than multivariate Gaussian process regression (MVGPR) under heavy‐tailed noise conditions. In addition, the ability of the aEM‐MVTPR to adaptively adjust the parameter makes it more robust than the MVTPR under different noise environments.