The prediction of wind in terms of both wind speed and direction, which has a crucial impact on many real-world applications like aviation and wind power generation, is extremely challenging due to the high stochasticity and complicated correlation in the weather data. Existing methods typically focus on a sub-set of influential factors and thus lack a systematic treatment of the problem. In addition, fine-grained forecasting is essential for efficient industry operations, but has been less attended in the literature. In this work, we propose a novel data-driven model, Multi-Horizon SpatioTemporal Network (MHSTN), generally for accurate and efficient fine-grained wind prediction. MHSTN integrates multiple deep neural networks targeting different factors in a sequence-to-sequence (Seq2Seq) backbone to effectively extract features from various data sources and produce multi-horizon predictions for all sites within a given region. MHSTN is composed of four major modules. First, a temporal module fuses coarse-grained forecasts derived by Numerical Weather Prediction (NWP) and historical on-site observation data at stations so as to leverage both global and local atmospheric information. Second, a spatial module exploits spatial correlation by modeling the joint representation of all stations. Third, an ensemble module weighs the above two modules for final predictions. Furthermore, a covariate selection module automatically choose influential meteorological variables as initial input. MHSTN is already integrated into the scheduling platform of one of the busiest international airports of China. The evaluation results demonstrate that our model outperforms competitors by a significant margin.