This article presents a novel identification approach which can deal with nonlinear and time-varying characteristics of complex dynamic systems, especially an aerial vehicle in the entire flight envelope. A set of local sub-models are first developed at different operating points of the system, and subsequently a self-organizing multi-model ensemble is introduced to aggregate the outputs of the local models as a single model. The number of employed local models in the proposed multi-model ensemble is optimized using a novel self-organizing approach. Also, wavelet neural networks, which combine both the universal approximation property of neural networks and the wavelet decomposition capability, are used as the local models of the proposed method. In addition, a generalized online sequential extreme learning machine is adopted in the introduced approach to determine the optimal validity function of the local models at each time step. Finally, the introduced self-organizing multi-model ensemble is applied to the NASA Generic Transport Model as a complex nonlinear system to demonstrate the effectiveness of the proposed identification approach. Furthermore, the results obtained from the conventional artificial neural networks are carefully compared with those from the wavelet neural networks, which are employed as the local models of the introduced multi-model ensemble. The simulation results suggest that the introduced wavelet neural network–based self-organizing multi-model ensemble can be used satisfactorily as the prediction model of model-based control systems for long prediction horizons.