The method of state space model fitting is carried out by using the linear relation of the variable of the differential equations and separating the steady process and instant process to eliminate the steady errors course by instant errors. The improved fitting method is without solving the linear differential equations or using any iterative methods. The coefficient of the state space model can be solve simply using matrix operation under the premise of high accuracy, so it has a higher computational efficiency than former least square method. And this method can also be used with other fitting method. Finally, to illustrate the validity and accuracy of the improved method, a small perturbation state space model of a certain turboshaft engine model has been established by this method, and the simulation result between state space model and nonlinear model was also compared. Also, the state space model could be applied to fault diagnosis and control system design for aeroengines.