The massive grid connection of renewable energy brings a series of problems to the power grid, such as an insufficient frequency modulation capacity of thermal power units and a poor frequency modulation effect. Aimed at these problems, a combined frequency modulation strategy for thermal power and energy storage based on a battery energy storage system is proposed. First, the frequency modulation signal of area control error (ACE) is decomposed using variational mode decomposition (VMD). Combined with the load forecast data in the future, the number of decomposition modes K and penalty factor α in the VMD algorithm are optimized by the sparrow search algorithm (SSA). The high-frequency signal is assigned to the energy storage system, while the low-frequency signal is assigned to the thermal power units. Second, a double-layer fuzzy controller is designed, in which the fuzzy control in the first layer takes the high-frequency signal of area control error and its changing rate as input to improve the system’s dynamic frequency modulation performance, and the fuzzy control in the second layer takes into account the influence of state-of-charge to prevent the energy storage from encountering problems such as over-charging and over-discharging. Finally, the effectiveness of the proposed control strategy is verified by simulation analysis.