Multi-sensor data fusion systems entail the optimization of a wide range of parameters related to the selection of sensors, signal feature extraction methods, and predictive modeling techniques. The monitoring of automated machining systems enables the intelligent supervision of the production process by detecting malfunctions, and providing real-time information for continuous process optimization, and production line decision-making. Monitoring technologies are essential for the reduction of production times and costs, and an improvement in product quality, discarding the need for post-process quality controls. In this paper, a multi-sensor data fusion system for the real-time surface quality control based on cutting force, vibration, and acoustic emission signals was assessed. A total of four signal processing methods were analyzed: time direct analysis (TDA), power spectral density (PSD), singular spectrum analysis (SSA), and wavelet packet transform (WPT). Owing to the nonlinear and stochastic nature of the process, two predictive modeling techniques, multiple regression and artificial neural networks, were evaluated to correlate signal parametric characterization with surface quality. The results showed a high correlation of surface finish with cutting force and vibration signals. The signal processing methods based on signal decomposition in a combined time and frequency domain (SSA and WPT) exhibited better signal feature extraction, detecting excitation frequency ranges correlated to surface finish. The artificial neural network model obtained the highest predictive power, with better behavior for the whole data range. The proposed on-line multi-sensor data fusion provided significant improvements for in-process quality control, with excellent predictive power, reliability, and response times.