An application of generalized harmonic wavelet in the response determination of nonlinear stochastic dynamic system is developed in this paper. Specifically, first, based on the wavelet expansion of the nonlinear differential equation and the newly developed wavelet connection coefficients, the dynamic differential equation is converted into a set of nonlinear algebra equations. Next, the Newton’s method is utilized to solve algebra equations. Finally, according to the relationship between the time-varying Power Spectrum Density (PSD) and the wavelet coefficients, response PSD is therefore obtained. Pertinent numerical simulations demonstrate the reliability of the proposed technique.