Wind energy has taken an important role in responding to overall energy demand and environmental concers. As the demand of the wind energy increase, investigations focus on maximizing the energy extraction and efficiency mostly through the design of key components such as blades, gearboxes, generators, etc and implementation of advanced control strategies. This paper focuses on new application of nonlinear feedback optimal control strategy to Wind Energy Conversion Systems (WECS) with Permanent Magnet Synchronous Generators (PMSG). In particular, a finite-horizon nonlinear control technique based on State Dependent Riccati Equation (SDRE) for the design of a closed-loop, optimal controller is applied. The idea of the technique is the change of variables that converts the nonlinear differential Riccati equation to a linear Lyapunov differential equation. Simulation results for the PMSG-WECS are given to illustrate the effectiveness of the technique.