Short-term wind power forecast (WPF) depends highly on the wind speed forecast (WSF), which is the prime contributor to the forecasting error. To achieve more accurate WPF results, this article proposes a wind speed correction method to improve the WSF result obtained by using the weather research and forecasting (WRF) model. First, the WRF model is constructed to forecast the wind speed, and its performance is analyzed. Second, a novel hidden Markov model (HMM) is developed to explore both the temporal autocorrelation of WSF error and the nonlinear correlation between the WSF result and the error. In the model, the fuzzy C-means cluster is introduced to properly divide the hidden state space of HMM and the emission probability of HMM is improved as continuous by the kernel density estimation (KDE) to make full use of the observation information. The proposed HMM model is better at wind speed correction through modification. Third, the HMM is solved by the Viterbi algorithm and the minimum mean-square error regulation to correct the predicted wind speed. Finally, the deterministic and probabilistic WPF results are obtained by using another KDE model, the proposed method is demonstrated to be superior to the benchmarks in case studies.