Short-term prediction of high-speed rail (HSR) passenger flow provides a daily ridership estimation for the near future, which is critical to HSR planning and operational decision making. This paper proposes a new methodology that integrates ensemble empirical mode decomposition with multivariate support vector machines (EEMD-MSVM). There are four steps in this hybrid forecasting approach: (i) explore the correlation of multivariate HSR passenger flows at various stations based on archived data; (ii) decompose empirical modes of historical passenger flows for each HSR station, using EEMD to generate a number of intrinsic mode functions (IMFs) and a trend term; (iii) predict the IMF for each correlated station pair using MSVM; and (iv) reconstruct the refined IMF components to predict daily multivariate HSR passenger flows. The proposed EEMD-MSVM approach is demonstrated with multiple OD pairs along the Wuhan-Guangzhou HSR in China. Results from various origin-destination pairs, show that the EEMD-MSVM approach outperforms the existing ensemble empirical mode decomposition with grey support vector machine approach (EEMD-GSVM). With the multivariate approach, the mean absolute percentage error in demand prediction is reduced by 13.9%, 1.2%, 1.0%, 2.0%, and 2.7% and the mean absolute deviation is reduced by 78.8, 38.0, 4.4, 4.6, and 3.9, between these OD pairs respectively. Such increase in short-term demand prediction accuracy can significantly improve HSR service planning, operations, and revenue management in the real world.