This paper proposes a data fusion algorithm of nonlinear multi sensor dynamic systems of synchronous sampling based on filtering step by step. Firstly, the object state variable at the next time index can be predicted by the previous global information with the systems, then the predicted estimation can be updated in turn by use of the extended Kalman filter when all of the observations aiming at the target state variable arrive. Finally a fusion estimation of the object state variable is obtained based on the system global information. Synchronously, we formulate the new algorithm and compare its performances with those of the traditional nonlinear centralized and distributed data fusion algorithms by the indexes that include the computational complexity, data communicational burden, time delay and estimation accuracy, etc.. These compared results indicate that the performance from the new algorithm is superior to the performances from the two traditional nonlinear data fusion algorithms.