If a Kalman Filter (KF) is applied to Global Positioning System (GPS) baseband signal preprocessing, the estimates of signal phase and frequency can have low variance, even in highly dynamic situations. This paper presents a novel preprocessing scheme based on a dual-filter structure. Compared with the traditional model utilizing a single KF, this structure avoids carrier tracking being subjected to code tracking errors. Meanwhile, as the loop filters are completely removed, state feedback values are adopted to generate local carrier and code. Although local carrier frequency has a wide fluctuation, the accuracy of Doppler shift estimation is improved. In the ultra-tight GPS/Inertial Navigation System (INS) integration, the carrier frequency derived from the external navigation information is not viewed as the local carrier frequency directly. That facilitates retaining the design principle of state feedback. However, under harsh conditions, the GPS outputs may still bear large errors which can destroy the estimation of INS errors. Thus, an innovative integrated navigation filter is constructed by modeling the non-negligible errors in the estimated Doppler shifts, to ensure INS is properly calibrated. Finally, field test and semi-physical simulation based on telemetered missile trajectory validate the effectiveness of methods proposed in this paper.