The Multi-Step Auto-Regressive (MSAR) reconstruction method is extended to reconstruct multidimensional seismic data. The validity of MSAR prediction filtering estimation for more than one spatial coordinate is proved. In addition, simple graphical interpretations are provided in order to explain the details pertaining the practical implementation of our algorithm. Finally, the performance of MSAR on synthetic 2D and 3D data set and a real 3D data example are examined.