The wind-induced vibration of the high-speed catenary and the dynamic behaviour of the pantograph–catenary under stochastic wind field are firstly analysed. The catenary model is established based on nonlinear cable and truss elements, which can fully describe the nonlinearity of each wire and the initial configuration. The model of the aerodynamic forces acting on the messenger/contact wire is deduced by considering the effect of the vertical and horizontal fluctuating winds. The vertical and horizontal fluctuating winds are simulated by employing the Davenport and Panofsky spectrums, respectively. The aerodynamic coefficients of the contact/messenger wire are calculated through computational fluid dynamics. The wind-induced vibration response of catenary is analysed with different wind speeds and angles. Its frequency-domain characteristics are discussed using Auto Regression model. Finally, a pantograph model is introduced and the contact force of the pantograph–catenary under stochastic wind is studied. The results show that both the wind speed and the attack angle exert a significant effect on the wind-induced vibration. The existence of the groove on the contact wire cross-section leads to a significant change of the aerodynamic coefficient, which affects largely the aerodynamic forces applied on the catenary wires, as well as the vibration response. The vibration frequency with high spectral power mainly concentrates on the predominant frequency of the fluctuating wind and the natural frequency of catenary. The increase in the wind speed results in a significant deterioration of the current collection. The numerical example shows that a relatively stable current collection can be ensured when the wind flows at the relatively horizontal direction.