Accurate quantitative analysis and prediction of dust concentration in mines play a vital role in avoiding pneumoconiosis to a certain extent, improving industrial production efficiency, and protecting the ecological environment. The research has far-reaching significance for the prediction of dust concentration in mines in the future. Aiming at the shortcomings of the grey GM (1, 1) model in forecasting the data sequence with large random fluctuation, a grey Markov chain forecasting model is established. Firstly, considering the timeliness of monitoring data, the new dust concentration data is supplemented by using the method of cubic spline interpolation in the original data sequence. Therefore, the GM (1, 1) model is established by the method of metabolism. Then, the GM (1, 1) model is optimized by the theory of the Markov chain model. According to the relative error range generated during the prediction, the state interval is divided. Subsequently, the corresponding state probability transition matrix is constructed to obtain the grey Markov prediction model. The model was applied to the prediction of mine dust concentration and compared with the prediction results of the BP neural network model, grey prediction model, and ARIMA (1, 2, 1) model. The results showed that the prediction accuracy of the grey Markov model was significantly improved compared with other traditional prediction models. Therefore, the rationality and accuracy of this model in the prediction of mine dust concentration were verified.