As the complexity of power systems increases, accurate load forecasting becomes crucial. This paper proposes a method for short-term electrical load forecasting that integrates fuzzy rough set (FRS) theory and multi-kernel extreme learning machine (MKELM) to improve both the accuracy and reliability of load predictions. First, we introduce the FRS theory for pre-selecting features. Next, we use correlation analysis (CA) to get rid of redundant features and choose the most important ones as prediction targets. Second, we introduce a novel prediction model based on the multi-kernel extreme learning machine (MKELM), utilizing an enhanced differential evolution algorithm (DEA) to optimize the kernel function’s parameters and the model’s weights. This approach allows for effective adaptation to various feature subsets. Experimental results on actual power load data demonstrate that our approach achieves high accuracy and reliability in short-term load forecasting. Moreover, comparative evaluations reveal that the proposed method outperforms alternative prediction models on key metrics. ANOVA and multiple comparisons further validate the statistical significance and superiority of the proposed method.