For wind-sensitive structures, such as long-span bridges, high-rise buildings, transmission towers, etc., the prediction of wind speed and its statistical distribution are vital steps in the design and operation stages. Specifically, wind speed prediction is directly related to the value of wind load in the next occurrence; the statistical distribution of wind speed has regular characteristics, which can represent the random characteristics of wind field. In this paper, a probabilistic prediction model of wind speed based on Bayes’ theorem is proposed and verified based on structural health monitoring (SHM) data. Firstly, the Gaussian process is derived and used as an a priori function in Bayes’ theorem. In addition, the influence of six covariance functions on the prediction performance are discussed, that is, squared exponential (SE), Matern-3/2 (MA-3/2), Matern-5/2 (MA-5/2), automatic relevance determination SE (ARDSE), ARDMA-3/2, and ARDMA-5/2. Secondly, the correlation between the next wind speed and the previous wind speed is discussed by using the moving window method. Finally, the parameters in the three wind speed probability distribution functions (PDF), that is, Gumbel distribution, Weibull distribution, Rayleigh distribution, are updated in real time by increasing the SHM data based on Bayes’ theorem.