Based on the non‐parametric kernel density estimation technique, the probability distribution of wind power output and its forecast error are accurately modelled. The confidence interval and forecast error upper and lower bounds of wind power output are estimated to build a dynamic economic emission dispatch (DEED) model with wind power penetration. To effectively solve the DEED problem with multi‐objective, high‐dimensional, non‐linear and strong constraints, based on the basic brainstorm optimisation (BSO) algorithm, three improvement mechanisms, namely random clustering centre, differential mutation operation and individual crossover operation are introduced to enhance the converging and diverging operation of BSO. Based on these improvements and external archive mechanism, an improved multi‐objective BSO (IMOBSO) algorithm is proposed. Simulations on a classical test system with ten thermal units are performed, where two case studies are investigated carefully. The simulation results demonstrate that: (i) the proposed IMOBSO can optimise the cost and emission objectives simultaneously and have achieved better performance than other algorithms; (ii) the proposed DEED incorporating wind power model is reasonable and effective because it can achieve the optimal wind power output scheduling by adjusting the system's spinning reserve capacity and the confidence level of wind power prediction interval.