The rapid development of renewable energy sources such as wind power has brought great challenges to the power grid. Wind power penetration can be improved by using hybrid energy storage (ES) to mitigate wind power fluctuation. We studied the strategy of smoothing wind power fluctuation and the strategy of hybrid ES power distribution. Firstly, an effective control strategy can be extracted by comparing constant-time low-pass filtering (CLF), variable-time low-pass filtering (VLF), wavelet packet decomposition (WPD), empirical mode decomposition (EMD) and model predictive control algorithms with fluctuation rate constraints of the identical grid-connected wind power. Moreover, the mean frequency of ES as the cut-off frequency can be acquired by the Hilbert Huang transform (HHT), and the time constant of filtering algorithm can be obtained. Then, an improved low-pass filtering algorithm (ILFA) is proposed to achieve the power allocation between lithium battery (LB) and supercapacitor (SC), which can overcome the over-charge and over-discharge of ES in the traditional low-pass filtering algorithm (TLFA). In addition, the optimized LB and SC power are further obtained based on the SC priority control strategy combined with the fuzzy control (FC) method. Finally, simulation results show that wind power fluctuation can be effectively suppressed by LB and SC based on the proposed control strategies, which is beneficial to the development of wind and storage system.