We demonstrate optimal state estimation for a cavity optomechanical system through Kalman filtering. By taking into account nontrivial experimental noise sources, such as colored laser noise and spurious mechanical modes, we implement a realistic state-space model. This allows us to obtain the conditional system state, i.e., conditioned on previous measurements, with minimal least-square estimation error. We apply this method for estimating the mechanical state, as well as optomechanical correlations both in the weak and strong coupling regime. The application of the Kalman filter is an important next step for achieving real-time optimal (classical and quantum) control of cavity optomechanical systems. ; Comment: replaced with published version, 5+12 pages