Accurate wind speed prediction is of great importance for the operation of wind farms, and extensive efforts have been made to develop effective forecasting methods in this regard. However, the feature selection of data input as well as optimization of deep learning models have received comparatively less attention, leading to unreliable forecasting results. This research proposes a novel hybrid model that integrates data preprocessing, feature selection, and optimized forecasting for improved wind speed prediction. Specifically, a powerful preprocessing technique is utilized to reduce data noise disturbances, while an innovative two‐stage feature selection is designed to achieve the optimal input data format for forecasting purposes. Moreover, a hybrid forecasting module based on long‐short term memory, which is optimized by the Bayesian optimization algorithm, has been developed to enhance the efficiency and reliability of the model. The empirical study used 10‐min interval wind speed data of four seasons for presentation and evaluation results demonstrated its superior performance in effectively learning the volatility and irregularity features of wind speed series, which established a solid foundation for practical applications in wind power systems.