The parameters in hydraulic servo position control system of cold rolling mill will be often changed due to external environmental changes. These changes make the position control system become an uncertain system; meanwhile, it is more difficult to system control design. The robust H∞ filter for a class of norm-bounded parameter uncertainty systems with time delay dependent was designed. The mathematical model of the hydraulic position system was established, and it was supposed that the external environment changes leading to damping parameter changes. Robust H∞ filtering algorithm is applied and enabled the closed-loop system has a good suppression ability, with quite well state evaluation effect, and also can ensure fast speed response characteristic and robust stability of the system.