With the continuous expansion of the integrated energy system and the development of grid-connected renewable energy, how to improve the operational efficiency and flexibility of thethree-network interconnection of electricity, heat and gas under new energy has become an urgent problem to be solved. On the basis of thermal power generating units, add thermo-electro decoupled CHP equipment, P2G equipment, and electricity and heat storage equipment to build a comprehensive energy system that interconnects electricity, heat and gas. Aiming at the integrated energy system with wind power uncertainties, a distributional robust optimization model that takes into account the risk aversion is proposed. The objective is to optimize the comprehensive cost of each generator set,and the constraints of the power grid, heating network, gas network and wind turbines are taken as condition, using risk value to represent wind power uncertainty. By controlling the risk value and confidence in the risk fuzzy probability model, the economic operation and optimal dispatch of the system are realized, and the problem of new energy consumption is improved. Finally, the feasibility and effectiveness of the model are verified by the IEEE 39 system.