In this paper, first we introduce vector-valued multiresolution analysis with dilation factor α⩾2 and orthogonal vector-valued wavelet. A necessary and sufficient condition on the existence of orthogonal vector-valued wavelet is derived. Then, for a given L-length compactly supported orthogonal vector-valued wavelet system, by virtue of an s×s orthogonal real matrix M and an s×s symmetry idempotent real matrix H where M(I s −H+He −iη ) is a unitary matrix for each η∈R, we construct (L+1)-length compactly supported orthogonal vector-valued wavelet system. Our method is of flexibility and easy to carry out. Finally, as an application we give an example.