Electricity load demand is the fundamental building block for all utilities planning. The load demand data has nonlinear and non-stationary characteristics, which make it difficult to be predicted accurately by just computational intelligence or ensemble methods. Ensemble methods like Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) is a powerful tool to forecast power load demand time series. Heterogeneous ensemble, a combination of two base models, will be distinct or more powerful in forecasting power load demand. In this paper, Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) method is hybridized with three computational intelligence-based predictors: support vector regression (SVR), artificial neural network (ANN) and random forest (RF). The basis of this paper was to conduct a comparative study on the accuracy of the forecasting result from using heterogeneous ensemble method to individual computational intelligence or ensemble method for four different horizons. The performances of the heterogeneous method are compared and discussed. It shows that heterogeneous method has outperformed the individual computational intelligence and ensemble methods. Possible future works are also recommended for power load demand forecasting.