The extensive use of wind power can not only reduce dependence on fossil fuels, but also reduce emissions of polluted gases. However, large-scale wind power curtailments often occur in northeast China during the heat supply season, due to the fact that most of electrical demand is covered by the electrical power of the combined heat and power (CHP) during the off-peak hours. At present, for northeast China with heating demand, most of the research only focuses on how to accommodate more wind power on the spot by using one-directional conversion of the electric and thermal energy. But it is still difficult to realize the bi-directional conversion between the electro-gas or electro-thermal energy. In this paper, a combined electro-gas bi-directional conversion system (CEGBCS) is established by adding the power to gas (P2G), fuel cell and heat storage device in CHP system. This CEGBCS can not only realize bi-directional conversion of the electricity and gas, but also decouple the two operation modes of CHP unit, which greatly improve the ability of system to accommodate additional wind power. Finally, the effectiveness of the proposed CEGBCS is verified by comparing with two traditional methods.