Measurement sensors installed in the smart transmission system can acquire big data for electromechanical dynamics monitoring. The time-series data obtained carry information of instantaneous relationship of system oscillation modes with respect to operating conditions. To extract this information, this paper proposes a parallel processed online supervised learning algorithm called k-nearest neighbors “locally weighted linear regression” (KNN-LWLR), which is an extensive combination of two famous machine-learning algorithms: 1) the KNN learning; and 2) LWLR learning. Its mathematical derivation, implementation, parameter tuning, and application to electromechanical oscillation mode prediction are first described. The proposed algorithm is then validated based on an 8-generator 36-node system with the real operations data.