With the large-scale development of wind power, high penetration wind power grid connection poses serious challenges to the safe and stable operation of the power system. However, the current accuracy of wind power forecasting is facing bottlenecks due to the limitations of Numerical Weather Prediction (NWP) data. Therefore, this article proposes a two-stage day-ahead multi-step wind power prediction (WPP) scheme that considers temporal information interaction. In the first stage, the next day prediction of wind power is based on historical power and 0∼24 hours NWP data. Then, an embedded deep decomposition module is used to extract predictable components and multi-scale information fusion is performed. In the second stage, the result of day-ahead WPP is obtained based on the extracted predictable components and combined with 24∼48 hours of NWP data. The wind farms in Jilin and Inner Mongolia of China are used to experimental analysis. The results show that the scheme proposed in the article has a better prediction effect compared with other schemes in the paper, which can effectively improve the multi-step prediction accuracy of day-ahead wind power.