To meet the high thickness accuracy requirements in cold-rolling processes, a roll eccentricity signal extraction method based on modified particle swarm optimization and wavelet threshold denoising (MPSO-WTD) with intrinsic time-scale decomposition (ITD) is proposed. The strong denoising ability of the wavelet is combined with the decomposition and recognition attributes of ITD for non-stationary signals. Periodic disturbances in strip thickness caused by roll eccentricity are actively compensated. First, the wavelet is used to denoise the signal and the MPSO algorithm is applied to determine a rational threshold and improve the calculation efficiency. Then, the denoised signal is decomposed into proper rotational components (PRCs) using the ITD method, and an appropriate PRC component representing the eccentricity signal is extracted. Finally, the eccentricity compensation signal is applied in the automatic gauge control (AGC) system of the cold rolling mill. During the rolling process, the rolling speed is not constant and will directly affect the frequency of the roll eccentricity signal. To solve this problem, an encoder is installed at the end of the roll and the compensation frequency of the roller eccentricity signal is determined in the roller eccentricity compensation system according to the pulse number output. The results of simulations and experiments show that roll eccentricity signals extracted using the proposed method can effectively remove the influence of interference signals. An average improvement of 62.3% in the roll eccentricity compensation effect was achieved under the stable rolling condition in the finishing rolling stage.