In the last few years, researchers have paid increasing attention to improving the accuracy of wind speed forecasting because of its vital impact on power dispatching and grid security. However, it is difficult to achieve a good forecasting performance due to the randomness and intermittency characteristics of wind speed time series. Current forecasting models based on neural network theory could adapt to various types of time series data; however, these models ignore the importance of data pre-processing and model parameter optimization, which leads to poor forecasting accuracy. In this paper, a new hybrid model is developed for short-term multi-step wind speed forecasting, which includes four modules: (1) the data pre-processing module; (2) the optimization module; (3) the hybrid nonlinear forecasting module and (4) the evaluation module. In order to estimate the forecasting ability of the proposed hybrid model, 10 min wind speed data were applied in this paper as a case study. The experimental results in six real forecasting cases indicate that the proposed hybrid model can provide not only accurate but also stable performance in terms of multi-step wind speed forecasting can be considered an effective tool in planning and dispatching for smart grids.