Power system monitoring, protection and modal identification typically rely on the accuracy of phasor parameters, thus quickly and accurately extracting phasor is crucial. Based on matrix pencil (MP) method, this paper proposes a fast matrix pencil (FMP) method to estimate parameters of electrical signals. A square matrix was formed by two time domain coupling matrices of input sampling signal. Its eigenvalues represent the changing information of fundamental and harmonic phasors, as well as the pole information of all components. Under the premise of initial phasors, the concerned phasors can be obtained by solving the square matrix eigenvalues. In order to reduce computation, this paper uses the Krylov subspace of square matrix to construct a phasor minimal polynomial, which can be used to quickly calculate concerned eigenvalues of specific components. Theoretical analysis and simulation results demonstrate that the FMP method significantly reduces the calculation workload and has a simple way to achieve, compared to the MP method. It is immune to the effect of non-target components and frequency offset, also keeps a high accuracy with short data window.