To forecast the seasonal fluctuations of US natural gas consumption accurately, a novel gray model based on seasonal dummy variables and its derived model are separately established. Then, the approximate time response formula in the proposed seasonal forecasting model is optimally calculated by using particle swarm optimization algorithm. On this basis, empirical analysis is conducted using data pertaining to natural gas consumption in the US during 2010–2019. The results show that gray model based on seasonal dummy variables and its derived model can recognize seasonal fluctuations in US natural gas consumption, whose prediction performances are much better than that of a traditional gray model, autoregressive integrated moving average (ARIMA), support vector regression (SVR), recurrent neural network (RNN), transformer, and fuzzy time series forecasting models. The mean absolute percentage errors (MAPEs) of the proposed seasonal gray forecasting model and its derived model, the classic gray model, ARIMA, SVR, RNN, Transformer, and Fuzzy time series forecasting models are 3.46%, 2.37%, 12.23%, 3.39%, 2.38%, 3.08%, 3.84%, and 5.02% in the training set, while those are 4.57%, 4.42%, 12.44%, 7.9%, 8.09%, 11.33%, 35.19% and 13.19% in the test set, respectively. The predicted and empirical results obtained by utilizing the proposed gray model implied that natural gas consumption in the US from 2020 to 2022 will maintain its seasonal growth and periodic changes, with the highest and the lowest values in the first and second quarters, respectively.