Grey system theory is a kind of ideal method to handle with small samples dynamic development problems, and competitive sports problems possessed “poor data information”, “small sample” and “dynamics”, let grey system have an advantage over traditional probability statistics and fuzzy mathematics in its problems researching, grey mathematics application in competitive sports performance prediction and analysis is more widely. The paper applies documents literature, counts previous world women’s pentathlon best performance from 2001 to 2013. Combine with world women’s pentathlon best performance, the paper establishes GM (1, 1) grey model and GM (1, 6) grey model on it. By comparing precise of GM(1, 1) model with GM(1, 6) model, it researches on GM(1, N) model’s application in sports competitiveness, states GM(1, N) model method application in multiple items’ sports competitiveness, and selects GM(1, 6) prediction model as grey model to apply into competitive sports performance prediction. Meanwhile, apply GM (1, 6) grey prediction model group to screen established model, and finally define to model with sample data from 2005 to2013 and define world women’s pentathlon performance prediction model.