Herein, we investigate the temperature compensation for a dual-mass MEMS gyroscope. After introducing and simulating the dual-mass MEMS gyroscope’s working modes, we propose a hybrid algorithm for temperature compensation relying on improved complete ensemble empirical mode decomposition with adaptive noise (ICEEMDAN), sample entropy, time–frequency peak filtering, non-dominated sorting genetic algorithm-II (NSGA II) and extreme learning machine. Firstly, we use ICEEMDAN to decompose the gyroscope’s output signal, and then we use sample entropy to classify the decomposed signals. For noise segments and mixed segments with different levels of noise, we use time–frequency peak filtering with different window lengths to achieve a trade-off between noise removal and signal retention. For the feature segment with temperature drift, we build a compensation model using extreme learning machine. To improve the compensation accuracy, NSGA II is used to optimize extreme learning machine, with the prediction error and the 2-norm of the output-layer connection weight as the optimization objectives. Enormous simulation experiments prove the excellent performance of our proposed scheme, which can achieve trade-offs in signal decomposition, classification, denoising and compensation. The improvement in the compensated gyroscope’s output signal is analyzed based on Allen variance; its angle random walk is decreased from 0.531076°/h/√Hz to 6.65894 × 10−3°/h/√Hz and its bias stability is decreased from 32.7364°/h to 0.259247°/h.