Aiming at improving the renewable energy consumption level in the multi-energy system and quantify the influence of uncertain unit output on system scheduling, a multi-energy system containing hydrogen and gas energy storage is constructed and the operation characteristics of hybrid energy storage in the system are analyzed in this paper. Then, a multi-objective optimal scheduling model for multi-energy systems is proposed, and the uncertainty risk of wind turbines is described by the multi-objective conditional value at risk method. In addition, the fuzzy C-mean-comprehensive quality assessment and improved particle swarm optimization are utilized to transform the system uncertainty problem into a deterministic problem. Finally, the single-objective optimization results without uncertainty and the comprehensive objective optimization results with uncertainty are solved respectively. It is shown that (1) hybrid energy storage devices can effectively improve the consumption level of renewable energy and realize the multi-stage energy conversion. (2) the uncertainty of renewable energy increases the comprehensive cost of a multi-energy system. (3) the improved risk tolerance of system can improve scheduling results.