For nonlinear stochastic systems, it is difficult to meet the actual control requirements by taking the low-order statistical characteristics such as mean and variance as the research objects, and the higher order statistical characteristics need to be considered. The probability density function(PDF) contains complete statistical characteristics, therefore, PDF control can achieve effective control of all moments. In this paper, aiming at the nonlinear stochastic system excited by Gaussian white noise, the Fokker-Planck-Kolmogrov(FPK) equation is taken as the research tool, and a PDF control method based on the multi-Gaussian closure(MGC) method is proposed. Firstly, according to the shape of the target PDF, a PDF superimposed by multiple Gaussian PDFs is constructed. Then, an optimization problem is built to make the PDF approximate the target PDF. Furthermore, the state equation of the controlled system is obtained by solving the FPK equation. Finally, the control function is calculated according to the original state equation, and the tracking control of the target PDF is implemented. Simulation results of different target PDFs show the feasibility and the effectiveness of the proposed method.