Due to the complexity of wind power, traditional prediction models are incapable of fully extracting the hidden features of multidimensional strong fluctuation data, which results in poor multi-step prediction performance. To predict continuous power effectively in the future, an improved wind power multi-step prediction model combining variational mode decomposition (VMD) with sequence-to-sequence (Seq2Seq) is proposed. Firstly, the wind power sequence is smoothed using VMD and the decomposition parameters of VMD are optimized by using the squirrel search algorithm (SSA) to effectively optimize the decomposition effect. Then, the subsequence obtained from decomposition, together with the original wind power data, is reconstructed into multivariate time series features. Finally, a Seq2Seq model is constructed, and convolutional neural networks (CNNs) with bidirectional gate recurrent units (BiGRUs) are used to learn the coupling and timing relationships of the input data and encode them. The gate recurrent unit (GRU) is decoded to achieve continuous power prediction. Based on the actual operating data of a wind farm, a case analysis is conducted. Experimental results show that SSA-VMD can effectively optimize the decomposition effect, and the subsequences obtained with its decomposition are highly accurate when applied to predictions. The Seq2Seq model has better multi-step prediction results than traditional prediction methods, and as the prediction step size increases, the advantages are more obvious.