Hypersonic vehicles pose a serious challenge to the existing defence systems due to the fast flight velocity, long flight distance, strong lateral maneuverability. Concerning the problem of accurately intercepting hypersonic vehicles, the present study investigates the hypersonic vehicle interception problem under a small velocity ratio of the missile and the target based on the nonlinear differential game theory. In this case, the interception problem is transformed into the solution of the state-dependent coefficient (SDC) and the algebraic Riccati equation. Moreover, it also provides the analytical form of the differential game guidance law by adopting the State-dependent Riccati Equation (SDRE) method, which does not need to calculate the remaining flying time of the missile. Based on the simulation results, the interception performance of the recommended differential game guidance law can be better than that of the proportional navigation guidance (PNG) together with the adaptive sliding mode guidance (ASMG) laws.