The non-linear and non-stationary processes are frequently observed in economy, finances, production, ecology, especially in economy of transition to sustainable state. However, there is no unified methodology of constructing non-linear and non-stationary models as it has been done for linear processes. Thus, there is a need to develop a methodology for constructing non-linear and non-stationary processes models that would provide for the possibility to increase the model adequacy, and enhance quality of forecasts based upon them. The goal stated is reached using the following methods: system analysis-based methodology to data processing and model building; the method for a model structure estimation and taking into account possible uncertainties of data; the method of identification possible non-linearity and non-stationary features of data and their formal description. The procedure for non-linear on variables and non-stationary model constructing in economy, finances, ecology, production, environmental studies was developed. It can be applied for constructing models and estimation of fore-casts for the processes of transition economy from current state of to the sustain-ability state. The procedure provides for achieving required adequacy of the models constructed and high quality of forecasts based upon the models. The methodology developed for modeling non-linear and non-stationary processes is helpful from the point of view of refining the model constructing procedure, enhancing model adequacy and increasing quality of forecasts. The next step of the study is implementation of the methodology in the frames of specialized decision support system using system analysis principles.