This paper proposes a novel approach, Markov Chain Monte Carlo (MCMC) sampling approximation, to deal with intractable high-dimension integral in the evidence framework applied to Support Vector Regression (SVR). Unlike traditional variational or mean field method, the proposed approach follows the idea of MCMC, firstly draws some samples from the posterior distribution on SVR’s weight vector, and then approximates the expected output integrals by finite sums. Experimental results show the proposed approach is feasible and robust to noise. It also shows the performance of proposed approach and Relevance Vector Machine (RVM) is comparable under the noise circumstances. They give better robustness compared to standard SVR. This paper proposes a novel approach, Markov Chain Monte Carlo (MCMC) sampling approximation, to deal with intractable high-dimension integral in the evidence framework applied to Support Vector Regression (SVR). Unlike traditional variational or mean field method, the proposed approach follows follows- the idea of ​​MCMC, firstly draws some samples from the posterior distribution on SVR’s weight vector, and then approximates the expected output integrals by finite sums. Experimental results show the proposed approach is feasible and robust to noise. It also shows the performance of proposed approach and Relevance Vector Machine (RVM) is comparable under the noise circumstances. They give better robustness compared to standard SVR.