The online generation method of nonlinear optimal terminal guidance command with the overload constraint and autopilot delay is studied. Firstly, the optimality conditions of the nonlinear optimal guidance problem with stationary target are established based on the Pontryagin’s maximum principle, and the overload constraint is embedded into the optimality conditions by the saturation function. Secondly, the parametric method is used to generate the flight trajectory data set that satisfies the optimality conditions by numerical integration. Then, the neural network is trained using the data set to fit the mapping relationship between the relative motion state of the missile-target and the optimal guidance command, so as to generate the guidance command under the overload constraint within milliseconds. For the delay response of autopilot, the differential compensation method is used to estimate the optimal guidance command output by the neural network at the next moment to achieve fast tracking. Finally, the simulation results show that the proposed method can generate optimal guidance command online for both stationary targets and small maneuvering targets.