The wind power ramp events threaten the power grid safety significantly. To improve the ramp prediction accuracy, a hybrid wavelet deep belief network algorithm with adaptive feature selection (WDBNAFS) is proposed. First, the wind power characteristic is analyzed. Then, wavelet decomposition is addressed to the time series, and an adaptive feature selection algorithm is proposed to select the inputs of the prediction model. Finally, a deep belief network is employed to predict the wind power ramp event, and the proposed WDBNAFS was testified with the experiments based on the practical data. The simulation results demonstrate that the prediction accuracy of the proposed algorithm is more than 90%.