The invention discloses an MGT-CCHP control system based on economic forecast control. The MGT-CCHP control system comprises an economic forecast control unit, an MGT-CCHP system unit, a disturbance model unit and a state and disturbance observer unit. By introducing a disturbance model into an object model, the MGT-CCHP control system integrates the immeasurable disturbance of the system and model mismatch information into one disturbance quantity, an original state space model is amplified, then all the state quantities are estimated by a Kalman filter and used for the calculation in an economic forecast controller, so that the influence of the disturbance on the optimization of an optimal control quantity by the economic forecast controller is removed and the anti-interference performance of the system is improved. Weight coefficients of different objective functions in the economic forecast controller can be adjusted to allow the MGT-CCHP system to switch rapidly under different operating modes to meet the complex and changeable load requirements. At the same time, the actual constraints such as upper and lower valve opening limits and the rate limit are taken into account to avoid the influence on the system performance saturation due to the saturation of an actuator.