The invention relates to a combined biding method for a power-to-gas unit and a gas unit in a power market and a natural gas market. The method comprises the following steps: firstly, generating a scene set containing probabilistic information by adopting latin hypercube sampling, and cutting scenes by using a scene cutting algorithm; secondly, respectively constructing a P2G (pravate to government) equipment individual participation market biding model, an NGGU individual participation market biding model and a P2G equipment and NGGU cooperative bidding model by taking revenue maximization as a target according to the scene set obtained in the first step, and determining bidding strategies at various trading periods on the next day and incomes of all the models; thirdly, reasonably allocating the incomes of the P2G equipment and the NGGU by adopting a Shapely value method according to the bidding strategies at the various trading periods on the next day and the incomes of all the models obtained in the second step; fourthly, submitting a biding strategy to a power market according to the biding strategies at the various trading periods on the next day and an income allocating scheme obtained according to the first step, the second step and the third step.