With the continuous development of Internet technology, the scale of Internet data is increasing day by day, and business forecasting has become more and more important in corporate business decision-making. Therefore, to improve the accuracy of Multi Target Regression in the actual e-commerce supply chain forecasting, research through the method of constructing the labeling feature for each target is optimized, the Multi-Target Regression via Sparse Integration and Label-Specific Features algorithm is obtained, and the experimental analysis is carried out on the performance of the algorithm and the application effect in the actual e-commerce supply chain. The experimental results show that the average of Relative Root Mean Square Error value of the research algorithm and is the lowest in most datasets, with a minimum of 0.058 in the effect experiments of prediction and label-specific features; in the effect and flexibility experiments of sparse sets, the lowest average of Relative Root Mean Square Error value of the research algorithm was 0.058, and the average rank value was the smallest. In addition, the average of Relative Root Mean Square Error value of the research algorithm is the smallest under the target variable of Y2 in the Enb data, and its value is 0.075. In the actual e-commerce supply chain forecast, the research algorithm has the highest score of 0.097 points. Overall, research algorithm has a better forecasting effect and higher performance, and has better practicality in practice, and can play a better effect in actual e-commerce supply chain forecasting.