Flight Environment Simulation System (FESS) is an important ground test facility, which can simulate the flight environment to test the performance of the aircraft engine. Focusing on the anti-windup control of FESS in the presence of actuator (magnitude and rate) saturations, an anti-windup design method with local sector and H2/H∞ optimization is proposed. Firstly, the saturation-type static nonlinearities are separated from the dynamic nonlinear model of the actuator, and then an anti-windup architecture with static compensator is constructed. Subsequently, the integrated H2 performance and H∞ performance are used to deal with the saturation nonlinearities to reduce the system performance degradation caused by the magnitude and rate saturations. Meanwhile, the internal stability of the closed-loop system is guaranteed via local sector condition. Finally, an optimization problem based on Linear Matrix Inequalities (LMI) is developed for anti-windup design, in which internal stability, H2 performance and H∞ performance are considered. The designed anti-windup controller is applied to FESS, and the numerical simulation results verify the effectiveness of the proposed method. Furthermore, some key issues in anti-windup design are discussed.