The accuracy of target threat estimation has a great impact on command decision-making. The Bayesian network, as an effective way to deal with the problem of uncertainty, can be used to track the change of the target threat level. Unfortunately, the traditional discrete dynamic Bayesian network (DDBN) has the problems of poor parameter learning and poor reasoning accuracy in a small sample environment with partial prior information missing. Considering the finiteness and discreteness of DDBN parameters, a fuzzy k-nearest neighbor (KNN) algorithm based on correlation of feature quantities (CF-FKNN) is proposed for DDBN parameter learning. Firstly, the correlation between feature quantities is calculated, and then the KNN algorithm with fuzzy weight is introduced to fill the missing data. On this basis, a reasonable DDBN structure is constructed by using expert experience to complete DDBN parameter learning and reasoning. Simulation results show that the CF-FKNN algorithm can accurately fill in the data when the samples are seriously missing, and improve the effect of DDBN parameter learning in the case of serious sample missing. With the proposed method, the final target threat assessment results are reasonable, which meets the needs of engineering applications.