Based on the improved interval operation theory, an improved expression of the return period wind speed interval prediction is constructed by using an approximate first-order Taylor series expansion. According to the measured wind speed data in Beijing, Jinan, Nanjing, Wuxi, Shanghai and Shenzhen, the improved method and the traditional method are respectively used to predict the interval of the return period wind speed. Furthermore, the interval results predicted by the improved method and the traditional method are compared and analyzed under the same confidence level. Results show that the improved method has good applicability for different parameter estimation methods under the condition of certain extreme value distribution model, and the interval prediction results of the return period wind speed are basically stable. Compared with the interval results predicted by the traditional method, the interval predicted by the improved method is more likely to be close to or contain the exact solution of the return period wind speed, which has higher prediction accuracy. In addition, the calculation process of the improved method is relatively simple and can realize the simplified calculation of interval prediction.