The electricity-to-hydrogen technology provides a new idea for solving the problem of abandoning wind and light. Aiming at the issue of large-scale environmental protection of hydrogen energy, this paper proposes an idea for constructing an electricity-hydrogen integrated station. Based on the function settings of peak shaving and valley filling, renewable energy consumption and hydrogen supply, the power purchase strategies of the integrated station in the main energy and new energy markets are analyzed. Then, taking the minimum total operating cost of the integrated station as the objective function and considering the power balance and constraints of the power-hydrogen system in the integrated station, an optimal operation model of the power-hydrogen integrated station considering the market environment is established. The model can be solved by linear planning. Finally, numerical example results verify that the integrated station proposed in this paper can effectively improve the peak shaving and valley filling capacity of the power grid and the absorbing capacity of renewable energy.