With the continuous growth of wind power access capacity, the impact of intermittent and volatile wind power generation on the grid is becoming more and more obvious, so the research of wind power prediction method has been widely concerned. Accurate wind power prediction can provide necessary support for the power grid dispatching, combined operation of generating units, operation, and maintenance of wind farms. According to the existing wind power prediction methods, the wind power prediction methods are systematically classified according to the time scale, model object, and model principle of prediction. The physical methods, statistical methods include single and ensemble prediction methods related to wind power prediction are introduced in detail. The error evaluation indicator of the prediction method is analyzed, and the advantages and disadvantages of each prediction method and its applicable occasions are given. At the same time, in view of the existing problems in the wind power prediction method, the corresponding improvement plan is put forward. Finally, this article points out that the research is needed for wind power prediction in the future.