A mixed H2/H∞ guaranteed cost control approach is presented in this paper to improve the head and tail strip thickness accuracy in the first stand of a tandem cold rolling mill during steel rolling process, it is very difficult to maintain a good thickness accuracy and tension stability in an unsteady state for various disturbances and uncertainties. The mixed H2/H∞ guaranteed cost controller can guarantee both the stability of tension control and the high degree of accuracy in gauge control. The simulation results show that the accuracy of strip thickness and the stability of strip tension can be improved compared to the conventional industrial control.