Faced with urgent energy crisis and global warming, there is still debate on how to balance the relationship between the economy and environment when planning energy systems. Aiming at this problem, a multi-objective bi-level planning model of the integrated energy system has been developed. In the first stage, the equipment capacity is configured with the objective of minimize carbon emissions from the production phase. In the second stage, the system operation model is a bi-level model, considering the uncertainty loads. In addition, various energy storage strategies for the integrated energy system are simulated, including following the electric load (FEL), following the cold load (FCL), following the heat load (FHL), and price following renewable energy (PFR). In the results of capacity configuration, the photovoltaic installation capacity decreases by 44% with no wind power. Five cases are designed, which contain single and combination strategies. The results show that the system with PFR-FEL can produce carbon emissions and cost 7.3 × 107 kg/year, 4.7 × 107 CNY/year, respectively, while the system with PFR can produce carbon emissions and cost 7.8 × 107 kg/year, 5.2 × 107 CNY/year, respectively. Those results indicate that photovoltaic is more valuable than wind power in Urumqi, and the combination strategy has better performance than single strategy.