Equipping suitable energy storage devices in wind farm can smooth the output power fluctuation. A novel control strategy based on the variational mode decomposition and fuzzy controller is put forward in this paper. First, VMD is used to decompose the HESS reference power which is derived by moving average and then the high and low frequency components are distributed to super capacitor and lithium battery, respectively. Taking deviation between the current State Of Charge (SOC) of capacitor/ lithium battery and its reference value as constraints, the power of hybrid energy storage devices could be adaptively adjusted by fuzzy control method. Finally, the results of simulation from Matlab/Simulink show that the control strategy in this paper not only can meet the maximum output rate requirement of wind farms but also can remain the SOC in a reasonable range, which could avoid occurrence of over charge or over discharge of energy storage system. This work is supported by National Natural Science Foundation of China (No. U1134104).