Firstlya pseudo-linear state-dependent model for the attitude and vertical channels of an unmanned helicopter is establishedwhich keeps the coupling state term.Thenthe optimal solution of the nominal model is found by online solving State-Dependent Riccati Equation (SDRE)and an integral-extended state-dependent controller is designed.As for the external disturbancesa finite-time disturbance observer is designed to online observe and then compensate for the disturbances in the coupling vertical and yaw channels.Simulations are implemented on the numerical platform of Yamaha-Rmax unmanned helicopterand a comparison with the classical robust H∞ controller is conducted.The simulation results show that the proposed method has the advantages of less dependence on parameters and faster responsewhich can rapidly stabilize inner-loop attitude and vertical velocity of the helicopter.