Accurate wind power forecasting helps relieve the regulation pressure of a power system, which is of great significance to the power system’s operation. However, achieving satisfactory results in wind power forecasting is highly challenging due to the random volatility characteristics of wind power sequences. This study proposes a novel ultra-short-term wind power combined prediction method based on complementary ensemble empirical mode decomposition, the whale optimization algorithm (WOA), and the Elman neural network model. The model can not only solve the phenomenon of easy modal mixing in decomposition but also avoid the problems of reconstruction error and low efficiency in the decomposition process. Furthermore, a new metaheuristic algorithm, WOA, was introduced to optimize the model and improve the accuracy of wind power prediction. Considering a wind farm as an example, several wind turbines were selected to simulate and analyse wind power by using the established prediction model, and the experimental results suggest that the proposed method has a higher prediction accuracy of ultra-short-term wind power than other prediction models.