The grid-connected micro gas turbine (MGT) generation system is playing an important role in power systems because of its demand response capability and application in combined heat and power (CHP) systems. When applied to promote demand response, the generation system is expected to respond to follow instructions quickly, but a rapid response harms the safety and is not conducive to the benefits of customers, which leads to a contradiction. In this paper, a closed-loop power control is introduced for the MGT to improve demand response capability. The rate of fuel valve opening is limited so as to protect the equipment from thermal fatigue threats. An optimization method is developed for identifying the control parameters, balancing the response time and unrealized energy in the regulation process. An improved whale optimization algorithm (IWOA) is proposed to implement the optimization. Results of the algorithm performance verify that WOA is competitive with other heuristic algorithms, and IWOA is more suitable for parameter optimization problems than WOA because of better efficiency and exploitation capability. Results of power response further indicate that the proposed control strategy can achieve expected aims and is suitable for the MGT generation system.