The cooperative engagement of multi-missile is one of the significant trend of missile technology. The cooperative engagement of multi-missile is investigated in this paper. Firstly a reasonable model is used to describe the relative motion of the missile and the target. Secondly the hp-adaptive pseudo-spectral method is described. Thirdly, a guidance strategy for cooperative engagement of multi-missile based on pseudo-spectral method is proposed. Finally some digital simulations are implemented. The simulation results indicate that the proposed guidance strategy is effective in the saturated attack mission of multi-missile, and the time restriction and angle restriction are considered.