Aiming at the problem that it is difficult to accurately estimate the dynamic state of the generator in the electromechanical transient process, a dynamic state estimation method based on continuous-discrete cubature information filtering is proposed in this paper. First, a continuous-discrete state estimation model that can accurately describe the actual operating dynamics of the generator is established, then the stochastic differential equation (SDE) is converted into a stochastic difference equation by using 1.5th-order Taylor expansion, and the state prediction value is accurately calculated according to the third-order spherical radius cubature rule, and finally the predicted state is corrected by the measurements to obtain an accurate state estimate. The simulation results of the four-machine two-zone generator system show that, compared with the traditional generator state estimation methods, the proposed method in this paper not only has higher estimation accuracy, stronger robustness and acceptable computational overhead, but also has the flexibility to be easily extended to distributed power system state estimation.