Most channel estimation techniques for orthogonal frequency division multiplexing system are not directly applicable to filter bank multi-carrier with offset quadrature amplitude modulation (FBMC-OQAM) system because of the imaginary interference of FBMC-OQAM system. Thus, a novel support vector regression (SVR) algorithm for fading channel estimation in FBMC-OQAM system is proposed. We propose a nonlinear complex SVR algorithm (NCSVR) adapted to two auxiliary pilots (AP)-based FBMC-OQAM signal, namely as AP-NCSVR. The practicality of our method is proved by simulation results obtained for Jakes fading model and vehicular A model. Simulation results reveal the accuracy of the proposed AP-NCSVR algorithm to estimate channel frequency response coefficients and show that the bit error rate performance of the proposed AP-NCSVR algorithm is better than the conventional interpolation method for Jakes fading model and vehicular A model.