The road disturbance rejection problem for vehicle active suspension involving the nonlinear characteristics is researched in this paper. A continuous-time state space of nonlinear vehicle active suspension is established first, in which the road disturbance is generated from the output of an introduced exosystem based on the ground displacement power spectral density. After that, based on the dynamics of road roughness and the internal model principle, a disturbance compensator with zero steady-state error is designed, which is related to the dynamic characteristics of road disturbance and independent of the control system model. By combining the vehicle active suspension system and the designed road disturbance compensator, an augmented system is obtained without explicit indication of road disturbance. Then by solving a series of decoupled nonlinear two-point-boundaryvalue problem and employing an iterative computing algorithm, an approximation optimal road disturbance rejection controller is obtained. Finally, the simulation results illustrate that the proposed approximation optimal road disturbance rejection controller can reduce the values of sprung mass acceleration, tire deflection, suspension deflection, and energy consumption and compensate the nonlinear behaviors of vehicle active suspension effectively.