Identifying an accurate model of the stagnation pressure on-line will benefit the design of the controller and improve the quality of the wind tunnel experiments. This paper focuses on the recursive identification of the stagnation pressure in the wind tunnel system. Based on the study of the aforementioned system structure, the stagnation pressure system is expressed by a block oriented model with the Wiener type composed of a linear dynamic block followed by a nonlinear static block. Furthermore, an EKF-kind algorithm is proposed for the recursive identification of the unknown parameters in the model. The on-line identification results show the validity of the selected model structure and the proposed algorithm.