The hybrid energy storage system (HESS) composed of supercapacitor storage and lithium battery storage is applied to renewable energy generation system with the problems related to energy allocation and protection control. In response to this question, a real-time energy management strategy for the HESS on the basis of improved second-order filtering and considering the protection of battery charging/discharging power limit is proposed. To begin with, the conventional first-order Butterworth filtering power allocation method and process are analyzed, and an improved second-order filtering power allocation method is proposed. This method allocates the medium-frequency components and the high-frequency components of the renewable energy generation output power to lithium battery storage and supercapacitor storage compensation, respectively, and feeds the remaining components into the power grid after compensation. Then, on the basis of the traditional battery charging/discharging protection control method, a power correction method considering the lithium battery charging/discharging power limit protection is proposed to protect and correct the lithium battery charging/discharging process. Finally, a HESS simulation model is developed to verify that the proposed energy management strategy is valid.