The invention discloses a method for accurately estimating wind power prediction error intervals. The method comprises the following steps: firstly, obtaining historical wind power data of a wind power plant; secondly, calculating wind power predication errors of all prediction points of the wind power plant, and establishing a wind power predication error distribution model; thirdly, establishing an error probability density function according to the distribution of the predication errors; fourthly, obtaining a confidence interval, meeting a certain confidence level, of the predication errors according to a given wind power predication value; and fifthly, calculating the shortest confidence interval through a Lagrange multiplier algorithm. On the basis of point predication, a probability density function of wind power prediction errors is obtained through interval prediction, and the confidence interval under a certain confidence level is calculated by a probability theory. In this way, the reliability of the interval to contain a wind power point predication value is determined, and the precision of wind power interval prediction is effectively improved.