Sports consumption is an important part of Chinese citizen consumption, it has very important significances in Chinese sports industrial sustainable development. The paper firstly makes horizontal and vertical analysis of Chinese sports consumption. Horizontally, it studies on Chinese sports consumption’s consumption contents, consumption standard, consumption structure as well as urban and rural sports consumption gap, and points out that affected by economic factors, Chinese sports consumption contents are simple and practical, and is practicability-oriented, aerobics, square dance and other massive activities are well received by broad masses, sportswear and sports product proportions are the biggest in sports consumption, and sports consumption difference between urban and rural is relative obvious. Vertically, though Chinese sports consumption has made faster progress, it still keeps great paces with most of countries in the world, we should refer to world power development experiences, promote Chinese sports consumption. Secondly, utilize adaptive filtering method, make analysis of China sports expenditure during 200~2012, by adjusting weights, it carries on repeatedly analyzing and calculating on the historical observation data, and gets final optimal weight, and further makes prediction on sports expenditure in five years after 2012, the error is smaller, predicted value is relative accurate.