For the magnetorheological (MR) suspension control system of all-terrain vehicles (ATVs), state estimation is an effective method to obtain system feedback signals that cannot be directly measured by sensors. However, when confronted with modeling errors and sudden changes in sensor noise during complex road driving, conventional estimation methods with fixed parameters encounter challenges in accurately estimating the states of ATV suspension system. To address this issue, this paper introduces a novel adaptive Sage-Husa Kalman filter (ASHKF) algorithm to estimate the sprung and unsprung velocity of ATV suspension system. The algorithm uses exponential weighting function and gradient detection function to adaptively adjust the attenuation coefficient according to the driving conditions of the ATV, thereby realizing real-time correction of the covariance matrix of the prediction error. Ultimately, through simulation and real-vehicle testing, it is demonstrated that the designed ASHKF is able to effectively improve the state estimation accuracy of the speed signal of the suspension system under off-road driving conditions with low-frequency noise and outlying disturbances, and the accuracy is improved by 62.70% compared with that of the conventional Sage-Husa Kalman filter (SHKF).