Wind power prediction is an important basis for the monitoring and information management of wind farms. Ultra-short-term wind power prediction is often used to balance load and optimize scheduling and requires high prediction accuracy. Due to the complex environment of wind farm and many uncertainties of wind speed, the wind power time series signals are often non-stationary and random. Recurrent Neural Network (RNN) is suitable for time series tasks, but the non-periodic and non-stationary time series signals will increase the difficulty of network learning. To overcome the interference of non-stationary signal in the prediction task and improve the prediction accuracy of wind power, an ultra-short-term wind power prediction method combining empirical model decomposition and multi-branch neural network was proposed. Firstly, the original wind power time series signal was decomposed by Empirical Mode Decomposition (EMD) to reconstruct the data tensor. Then, the convolution layer and Gated Recurrent Unit (GRU) layer were used to extract the local features and trend features respectively. Finally, the prediction results were obtained through feature fusion and full connection layer. Experimental results on the dataset of a wind farm in Inner Mongolia show that compared with AutoRegressive Integrated Moving Average (ARIMA) model, the proposed method improves the prediction accuracy by nearly 30%, which verifies the effectiveness of the proposed method.