The proportion of wind energy in global energy structure is growing rapidly, promoting the development of wind power forecasting (WPF) technologies to solve the uncertainty and intermittence of wind power generation. However, the nonlinear and stochastic features of wind power time series restrain the accuracy of multi-step prediction performance. A multi-step WPF (MS-WPF) approach based on a time series bi-level empirical mode decomposition (BLEMD) method and BiLSTM neural network is proposed in this paper to improve the WPF accuracy of regional wind power generators. Since the uncertainty is always generated through coupled factors from both wind and weather-to-power conversion, the linearity feature is first introduced as an aspect apart from the frequency in the proposed approach to decompose the wind power time sequence data. The proposed BLEMD introduces Pearson product-moment correlation coefficient to evaluate the linearity of time series and a linearity-based decomposition algorithm is designed accordingly. To further enhance the precision and release computation burdens, a DL-based prediction strategy, including a BiLSTM network, a CNN-BiLSTM network, and a mean weight estimation method are implemented to predict the components separately. The proposed method only relies on local data, greatly reducing the data acquisition and computation cost. The precision of the proposed MS-WPF is verified by a 2.5 kW wind turbine with horizons from 5 s to 30 s, a 1.5 MW wind turbine with horizons from 10 min to 1 h, and a 51 MW wind farm with horizons from 1 h to 6 h. The comparative experimental results with other cutting-edge methods indicated that the proposed MS-WPF has superior prediction accuracy and stable performance for multi-step prediction.