Oxygen is one of the most important energies used in converter steelmaking processes of integrated iron and steel works. Precisely forecasting oxygen consumption before processing can benefit process control and energy optimization. This paper assumes there is a linear relationship between the oxygen consumption and input materials, and random noises are caused by other unmeasurable materials and unobserved reactions. Then, a novel hybrid prediction model integrating multiple linear regression (MLR) and Gaussian process regression (GPR) is introduced. In the hybrid model, the MLR method is developed to figure the global trend of the oxygen consumption, and the GPR method is applied to explore the local fluctuation caused by noise. Additionally, to accelerate the computational speed on the practical data set, a K-means clustering method is devised to respectively train a number of GPR models. The proposed hybrid model is validated with the actual data collected from an integrated iron and steel work in China, and compared with benchmark prediction models including MLR, artificial neural network, support vector machine and standard GPR. The forecasting results indicate that the suggested model is able to not only produce satisfactory point forecasts, but also estimate accurate probabilistic intervals.