In recent years, High-G MEMS accelerometers have been widely used in aviation, medicine, and other fields. So it is extremely important to improve the accuracy and performance of High-G MEMS accelerometers. For this purpose, we propose a fusion algorithm that combines EMD, wavelet thresholding, and temperature compensation to process measurement data from a High-G MEMS accelerometer. In the fusion algorithm, the original accelerometer signal is first decomposed by EMD to obtain the intrinsic mode function (IMF). Then, sample entropy (SE) is used to divide the IMF components into three segments. The noise segment is directly omitted, wavelet thresholding is performed on the mixing segment, and a GA-BP performs temperature compensation on the drift segment. Finally, signal reconstruction is implemented. Later, a comparative analysis is carried out on the results from four models: EMD, wavelet thresholding, EMD + wavelet thresholding, and EMD + wavelet thresholding + temperature compensation. The experimental data show that the acceleration random walk change from 1712.66 g/h/Hz0.5 to 79.15 g/h/Hz0.5 and the zero-deviation stability change from 49275 g/h to 774.7 g/h. This indicates that the fusion algorithm (EMD + wavelet thresholding + temperature compensation) not only effectively suppresses the noise of high-frequency components but also compensates for temperature drift in the accelerometer.