Humanoid parkour requires locomotion policies to coordinate whole-body dynamics across rapidly changing terrains such as stairs, gaps, slopes, and obstacles. Existing reinforcement learning policies are largely reactive, mapping observations directly to actions without explicitly modeling future body states. Such modeling becomes critical in agile locomotion tasks where successful motion execution depends strongly on anticipating upcoming contact transitions and body dynamics. We present ParkourFormer, a Transformer-based sequence modeling framework that reformulates humanoid locomotion as a future-conditioned decision-making problem. The current robot state queries historical sensorimotor trajectories through cross-attention, while a lightweight prediction head forecasts short-horizon future proprioceptive states. The predicted future states, trained with supervised signals, are fused with temporal features to generate actions, enabling the policy to jointly reason over motion history and anticipated future dynamics. We evaluate ParkourFormer on a diverse multi-terrain humanoid parkour benchmark including stairs, gaps, slopes, rough terrain, and obstacle traversal. Experiments in simulation and on a real humanoid robot show that ParkourFormer achieves a 93.85% average traversal success rate on highly challenging terrains, with improvements of up to 47.12% over strong MLP, MoE-based MLP, and vanilla Transformer baselines, while maintaining a single unified policy across all terrain types. These results demonstrate that explicit future-state modeling significantly improves robustness and generalization for agile whole-body locomotion.