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Aiming at the high precision navigation problem of sounding rocket under high dynamic and nonlinear environment, a low-cost GNSS/MEMS tightly-coupled integrated navigation system based on DSP6747 and FPGA dual core hardware platform is designed. In addition, an improved Particle Filter- Adaptive Fading Extended Kalman Filter (PF-AFEKF) algorithm based on direct mode is designed to achieve high performance of information fusion under high dynamic and nonlinear condition, and problems of particle degeneracy and filterSdivergence can be solved and restrained by taking full advantage of current observational information and the adaptive weight factor. Finally, vehicle experiment is conducted and experiment results show that the designed low-cost GNSS/MEMS navigation system has higher navigationSprecision and faultStolerance.