Few-shot named entity recognition (FS-NER) aims at identifying entities from plain text via a handful of samples. Many efforts based on prototype learning hardly model the hierarchy in the entity types from global perspectives, which tends to cause ambiguous prototypes. To tackle the challenge and make full use of fine-grained taxonomy information, we propose a novel approach called Taxonomy-Guided Prototype (TaGuProto) for FS-NER, a decomposed framework which can automatically extract class-agnostic entity spans, explicitly incorporate taxonomic hierarchy information into prototype representations and effectively bridge the representation gaps between entity spans and taxonomic description embeddings. In addition, the taxonomy knowledge provides instructive supervision signals for discrepant and discriminative entity representations. Extensive experimental results on six public datasets demonstrate that our model achieves significant and consistent improvement, with TaGuProto achieving an average performance gain of 8.7% over the previous best model (SDNet).