The accurate online detection of laser welding penetration depth has been a critical problem to which the industry has paid the most attention. Aiming at the laser welding process of TC4 titanium alloy, a multi-sensor monitoring system that obtained the keyhole/molten pool images and laser-induced plasma spectrum was built. The influences of laser power on the keyhole/molten pool morphologies and plasma thermo-mechanical characteristics were investigated. The results showed that there were significant correlations among the variations of the keyhole–molten pool, plasma spectrum, and penetration depth. The image features and spectral features were extracted by image processing and dimension-reduction methods, respectively. Moreover, several penetration depth prediction models based on single-sensor features and multi-sensor features were established. The mean square error of the neural network model built by multi-sensor features was 0.0162, which was smaller than that of the model built by single-sensor features. The established high-precision model provided a theoretical basis for real-time feedback control of the penetration depth in the laser welding process.