In this study, an adaptive filtering in phase space for foetal electrocardiogram (ECG) extraction from a maternal abdominal ECG signal and a thoracic ECG signal is proposed. The phase space trajectory is reconstructed with one abdominal ECG signal and one thoracic ECG signal from a pregnant women. The non-linear and time-variant relationship between the thoracic ECG signal and maternal ECG component in abdominal signal is built by the adaptive local modelling in phase space, and the maternal ECG component in abdominal ECG signal can be estimated, which is then subtracted from the abdominal ECG signal to obtain a foetal ECG estimate. The local modelling process is carried on the spatial neighbouring points of each point in phase space, not on the temporal neighbouring points of each point in time sequence as usual. This can utilise the geometric information of the periodic ECG signal, and the simpler local relationship represented in phase space makes the estimation of the relationship easier and more accurate. Compared with the classical adaptive filter, the proposed method has shown the improved robustness and fidelity in restoration of the foetal ECG, testing with synthetic and real ECG signals.