A method and a device for estimating a state of a power system are provided. The method includes: dividing the power system into a plurality of sub-systems; establishing a first linear model of the power system for a first stage; solving the first linear model by an alternating direction multiplier method to obtain the intermediate state variables of each sub-system; performing a nonlinear transformation at a second stage on the intermediate state variables to obtain intermediate measured values; establishing a second linear model of the power system for a third stage according to the intermediate measured values; and solving the third linear model by the alternating direction multiplier method to obtain the final state variables of each sub-system.