The accurate prediction of tunneling speed in tunnel boring machine (TBM) construction is the basis for the timely adjustment of the operating parameters of TBM equipment to ensure safe and efficient tunneling. In this paper, a multi-step prediction model of TBM tunneling speed based on the EWT-ICEEMDAN-SSA-LSTM hybrid model is proposed. Firstly, four datasets were selected under different geological conditions, and the original data were preprocessed using the binary discriminant function and the 3σ principle; secondly, the preprocessed data were decomposed using the empirical wavelet variation (EWT) to obtain several subseries and residual series; then, Intrinsic Computing Expressive Empirical Mode Decomposition With Adaptive Noise (ICEEMDAN) was used to perform further decomposition on residual sequences. Finally, several subsequences were fed into a Long Short-Term Memory (LSTM) network optimized by the Sparrow Search Algorithm (SSA) for multi-step training and prediction, and the predicted results of each subsequence were added up to obtain the final result. A comparison with existing models showed that the performance of the prediction method proposed in this paper is superior to other models. Of the four datasets, the average accuracy from the first step prediction to the fifth step prediction reached 99.06%, 98.99%, 99.07%, and 99.03%, respectively, indicating that the proposed method has high multi-step prediction performance and generalization ability. In this sense, this paper provides a reference for other projects.