Power load forecasting is an important part of power grid scheduling, operation and maintenance. It is also the basis of economic operation and security of electric power system. It has important significance to the stability and development of electric power system. This paper introduces the theory of wavelet analysis, and combined with neural network to form a wavelet neural network forecasting model, analysis the characteristics of the wavelet neural network, wavelet neural network algorithm design. Comparison of the results of the wavelet neural network and BP neural network, it is proved that the wavelet neural network model has the characteristics of high prediction accuracy, fast convergence speed, better prediction effect.