A significant number of people in the world suffer from limb losses, while prosthesis is the hopeful way to help the amputees back to normal life. Recently, the most popular control method used in intelligent prosthesis is FSM-IC (finite state machine with impedance control), which requires a significant amount of manual parameter adjustments to achieve a good model compensation in a discrete way. Taking the lower-limb prosthesis as the research object, this paper applies an LWPR (locally weighted projection regression) model to learn the dynamic model of a prosthesis in real time in order to achieve a better model compensation in a continuous way and propose scientific experimental schemes to verify the control method. First, the basic control framework of lower-limb prosthesis is given. Then, the control law is derived on the basis of model building and LWPR’s addition. Finally, the proper experimental schemes are designed to carry out the control method effectively in a safe way. The experimental results show that the control law with the LWPR model can greatly improve the tracking performance during the swing phase and obtain rather good compliance during the stance phase. Moreover, the results also indicate that the LWPR model can approximate the dynamic model online. This method is hoped to be extended to more applications and fields.