In this paper, by exploiting the equivalence between hybrid systems modeled in the Mixed Logic Dynamical form and Piece-Wise Affine systems, we propose a state smoothing algorithm based on Moving Horizon Estimation (MHE). We provide sufficient conditions on the time horizon and the initial penalties to guarantee asymptotic convergence of the MHE scheme. Moreover we propose an algorithm for the computation of the initial penalties that allows to implement MHE by solving Mixed-Integer Quadratic Programs.