The stability and reliability of the error state of capacitor voltage transformer (CVT) are poor, which affects the fairness of electricity trade settlement and the safe operation level of power grid. However, the CVT error data is superimposed by different periodic information such as daily period, monthly period and quarterly period, which makes the prediction of transformer error state challenging. In this paper, a CVT error state prediction method based on TimesNet and gate control unit (GRU) is proposed. The TimesNet network is employed to capture the intraperiod-variation and interperiod-variation characteristics of the ratio difference data of a-phase, b-phase and c-phase, and the feature data and GRU model are employed to predict the output. The simulation results demonstrate that the mean square error (MSE) and mean absolute error (MAE) of the proposed model are 0.0002 and 0.0101, respectively, indicating that this model has lower prediction error and higher prediction accuracy.