For medium‐voltage, large‐capacity, multi‐output supercapacitor charging applications, power inductors play an important role in filtering and energy storage. For a short‐time duty power inductor, the major design challenge is accurate transient thermal prediction, which goes beyond the scope of the empirical method. A transient thermal model that considers water‐cooling plates was constructed to predict thermal performance. On this basis, this study presents a novel multi‐objective optimisation design method, where the analytical method and the finite‐element method were combined through programming control to balance accuracy and efficiency. Furthermore, a short‐time duty 400 kW/182 A/2 kHz/15 kV power inductor prototype was designed and manufactured. Compared with the results of the 30‐minute thermal experiment, the calculation error is no >7.0%, which is significant for the accurate and highly compact design of the short‐time duty power inductor.