Using a gravity anomaly covariance function based on the second-order Ganssian Markov gravity anomaly potential model, the state equation of a gravity anomaly signal is obtained in marine gravimetry. Combined with the system state equation and the measurement equation, a new method of the cascade Kalman filter is proposed and applied to the correction of gravity anomaly distortion. In the signal processing procedure, an inverse Kalman filter is used to restore the gravity anomaly signal and high frequency noises first. Then an adaptive Kalman filter, which uses the gravity anomaly state equation as the system equation, is set to estimate the actual gravity anomaly data. Emulations and experiments indicate that both the cascade Kalman filter method and the single inverse Kalman filter method are effective in alleviating the distortion of the gravity anomaly signal, but the performance of the cascade Kalman filter method is better than that of the single inverse Kalman filter method.