At the present stage, China’s energy development has the following characteristics: continuous development of new energy technology, continuous expansion of comprehensive energy system scale, and wide application of multi-energy coupling technology. Under the new situation, the accurate prediction of power load is the key to alleviate the problem that the planning and dispatching of the current power system is more complex and more demanding than the traditional power system. Therefore, firstly, this paper designs the calculation method of the power load demand of the grid under the multi-energy coupling mode, aiming at the important role of the grid in the power dispatching in the comprehensive energy system. This load calculation method for regional power grid operating load forecasting is proposed for the first time, which takes the total regional load demand and multi-energy coupling into consideration. Then, according to the participants and typical models in the multi-energy coupling mode, the key factors affecting the load in the multi-energy coupling mode are analyzed. At this stage, we fully consider the supply side resources and the demand side resources, innovatively extract the energy system structure characteristics under the condition of multi-energy coupling technology, and design a key factor index system for this mode. Finally, a least squares support vector machine optimized by the minimal redundancy maximal relevance model and the adaptive fireworks algorithm (mRMR-AFWA-LSSVM) is proposed, to carry out load forecasting for multi-energy coupling scenarios. Aiming at the complexity energy system analysis and prediction accuracy improvement of multi-energy coupling scenarios, this method applies minimal redundancy maximal relevance model to the selection of key factors in scenario analysis. It is also the first time that adaptive fireworks algorithm is applied to the optimization of adaptive fireworks algorithm, and the results show that the model optimization effect is good. In the case of A region quarterly load forecasting in southwest China, the average absolute percentage error of a least squares support vector machine optimized by the minimal redundancy maximal relevance model and the adaptive fireworks algorithm (mRMR-AFWA-LSSVM) is 2.08%, which means that this model has a high forecasting accuracy.