An on-line nonlinear FOPDT system identification method is proposed and applied to model the superheat dynamic in a supermarket refrigeration system. The considered nonlinear FOPDT model is an extension of the standard FOPDT model by means that its parameters are time dependent. After the considered system is discretized, the nonlinear FOPDT identification problem is formulated as a Mixed Integer Non-Linear Programming problem, and then an identification algorithm is proposed by combining the Branch-and-Bound method and Least Square technique, in order to on-line identify these time-dependent parameters. The proposed method is firstly tested through a number of numerical examples, and then applied to model the superheat dynamic in a supermarket refrigeration system based on experimental data. As shown in these studies, the proposed method is quite promising in terms of reasonable accuracy, large flexibility and low computation load. The study on the superheat also clearly showed time varying properties of superheat dynamic, which indicate some necessity of adaptive mechanism of efficient superheat control.