Micro-electro-mechanical system (MEMS) gyro is one of the extensively used inertia sensors in the field of optical target tracking (OTT). However, velocity closed-loop bandwidth of the OTT system is limited due to the resonance and measurement range issues of MEMS gyro. In this paper, the generalized sensor fusion framework, named the closed-loop fusion (CLF), is analyzed, and the optimal design principle of filter is proposed in detail in order to improve measurement of the bandwidth of MEMS gyro by integrating information of MEMS accelerometers. The fusion error optimization problem, which is the core issue of fusion design, can be solved better through the feedback compensation law of CLF framework and fusion filter optimal design. Differently from conventional methods, the fusion filter of CLF can be simply and accurately designed, and the determination of superposition of fusion information can also be effectively avoided. To show the validity of the proposed method, both sensor fusion simulations and closed-loop experiments of optical target tracking system have yielded excellent results.