The increasing number of cyberattacks has made the cybersecurity situation more serious. Thus, it is urgent to use cyber threat intelligence to deal with the complex and changing cyber environment. However, cyber threat intelligence usually exists in an unstructured form, and a huge amount of data poses a great challenge to security analysts. To this end, this paper proposes a novel threat intelligence information extraction system combining multiple models, which contains four key steps: entity extraction, coreference resolution, relation extraction, and knowledge graph construction. In the entity extraction task, a multihead self-attention mechanism is adopted to extract the dependency relationships between words. In the coreference resolution task, contextual information and mention embedding are fused to improve the mention representation. Meanwhile, features of different dimensions are extracted using a convolutional neural network. In the relation extraction task, additional features such as part of speech, mention width, entity type, and distance of entity pairs are incorporated to improve the embedding representation. Finally, a knowledge graph is constructed to explicitly present entities and their relationships. Experimental results indicate that compared with the baseline model, the F1 score of our model is improved by at least 8.87, 9.82, and 10.56 on entity extraction, coreference resolution, and relation extraction, respectively. The knowledge graph in Neo4j demonstrates the effectiveness of our system.