The fluctuation of water supply is affected by the living habits and population mobility, so the daily water supply is significantly non-stationarity, which presents a great challenge to the water demand prediction based on data-driven model. To solve this problem, the Hodrick-Prescott (HP) and wavelet transform (WT) time series decomposition methods, and ensemble learning (EL) were introduced, coupling model bidirectional long short term memory (BLSTM), seasonal autoregressive integrated moving average (SARIMA) and Gaussian radial basis function neural network (GRBFNN) were developed, and interval prediction was carried out based on student's t-test (T-test). This research method was applied to the daily water demand prediction in Shenzhen and cross-validation was performed. It is found that the decomposed subseries has obvious law, and WT is superior to HP decomposition method. However, the maximum decomposition level (MDL) of WT should not be set too high, otherwise the trend characteristics of subseries will be weakened. The results show that the potential characteristics and quantitative relationships of historical data can be learned accurately based on WT and coupling model. Although the corona virus disease 2019 (COVID-19) outbreak in 2020 caused a variation in water supply law, this variation is still within the interval prediction. The WT and coupling model satisfactorily predicted water demand and provided the lowest mean square error (0.17%), mean relative error (0.1) and mean absolute error (3.32%) and the highest Nash-Sutcliffe efficiency (97.21%) and correlation coefficient (0.99) in testing set.