The mine wind speed sensor is an important intelligent sensing equipment in the mine intelligent ventilation system that can provide accurate and key wind speed parameters for the intelligent ventilation system. The turbulent pulsation characteristics of the airflow in the underground tunnel are a major factor for the inaccurate measurement of mine wind speed. Therefore, according to the random non-stationary characteristics of a turbulent pulsation signal, a denoising method based on adaptive complete ensemble empirical mode decomposition (CEEMDAN) combined with the wavelet threshold is proposed for suppressing the turbulent pulsation noise in the wind speed signal. First, the CEEMDAN algorithm is used for decomposing the wind speed signal into a series of IMF components. Second, the continuous mean square error criterion is used for determining the high-frequency IMF components with more noise. The wavelet threshold denoising method is used for denoising the high-frequency IMF components with more noise. Finally, the denoised IMF components and remaining low-frequency IMF components are reconstructed for obtaining the denoised signal. The results of the denoising analysis of measured turbulent pulsation signals, comparative analysis of denoising of simulated turbulent pulsation signals by different joint denoising methods, and denoising analysis of actual mine wind speed sensor data indicate that the joint denoising method proposed in this study has a higher signal-to-noise ratio and lower root mean square error of the wind speed signal after denoising. Compared with the EMD-wavelet threshold and EEMD-wavelet threshold denoising methods, the denoising method proposed in this study is better and has higher denoising accuracy, which provides a new method for processing actual mine wind speed sensor data.