In this article, a stochastic gradient algorithm based on the minimum Shannon entropy is proposed to identify a type of Hammerstein system with random noise. Firstly, the probability density function is estimated by a parzen window based on the Gaussian kernel. Then, the traditional stochastic gradient algorithm is adopted to estimate the parameters. However, the traditional stochastic gradient algorithm converges quite slowly. To fasten the algorithm, a multierror method is integrated into the algorithm. In this multierror gradient algorithm, the scalar error is replaced by a vector error. This vector error can accelerate the algorithm greatly and give a more accurate estimate by using the same data set. Finally, the proposed algorithm is validated by a numerical example and an industrial process. The estimation results indicate that the proposed algorithm can obtain more accurate estimates than the traditional gradient algorithm and has a faster convergence speed.