This paper discusses the parameter estimation of the multivariate normal distribution using Bayesian statistical methods. Traditionally, frequency statistical methods are used to estimate the parameters of the multivariate normal distribution, but this method may face sampling limitations and model complexity. In contrast, the Bayesian method can more effectively explain the uncertainty of parameter estimation by introducing prior information and subsequent reasoning, and show better robustness to data limitations or model complexity. Through literature review and empirical analysis, this paper demonstrates the benefits and potential of using Bayesian methods to estimate the parameters of the multivariate normal distribution, and proposes new ideas for parameter estimation of the multivariate normal distribution in various fields, such as providing new ideas and methods for portfolio management.