In order to overcome the adverse effect of the missile autopilot’s dynamics on the guidance performance in the process of missile formation control, a missile formation consensus algorithm combined with parameter optimization is proposed. The missile autopilot is characterized by a first-order inertial process. On the basis of the proposed formation control algorithm, the closed loop guidance control system is derived, which is proved convergent by algebraic graph theory. The algorithm can make all members approach to ideal positions and consistent velocity simultaneously. To further enhance the performances of the missile formation system, the cost functional is built based on the accumulated error of formation members’ position and velocity. An optimization method for undetermined coefficient in the algorithm is proposed by optimal control theory. Simulation results verify the validity of the algorithm which is useful to generate and keep leader-following missile formation.