With the increasing capacity of wind power in power systems, wind power volatility and uncertainty pose a great threat to the operation of the electricity system, especially for areas with high heating demand. Integrated electricity and district heating system (IEDHS) is a promising option to improve power system flexibility to accommodate more wind power. This paper excavates the potentiality of coordinated operation of IEDHS to alleviate the effects of wind power uncertainty with an adjustable robust interval approach. Firstly, the structure of IEDHS and operation models of district heating network are presented. An adjustable robust interval optimal dispatch model for IEDHS is established considering wind power uncertainty. The wind power mismatches in the worst-case scenarios are balanced by adjustable thermal units based on the time-varying participation factors. Then, the nonlinear mathematical formulation of the scheduling model is proposed and converted into a mixed-integer linear programming (MILP) problem utilizing a binary expansion method. By solving this model, the maximum allowable output intervals of wind power and optimal economic dispatch results of IEDHS can be obtained. Finally, case studies performed on two IEDHS are applied to verify the validity of the proposed model.