The extraction of Fetal ECG (FECG) is still a difficult task in non-invasive approach since the frequency components of dominant maternal ECG and fetal ECG signals are generally overlapped. Besides, the baseline wander and high-frequency noise make the clear FECG difficult to be extracted. In this paper, we proposed a new combination of independent component analysis (ICA), improved complete ensemble empirical mode decomposition (ICEEMDAN), and wavelet shrinkage (WS) de-noising (ICA-ICEEMDAN-WS) to extract FECG while reducing the noise. ICA algorithm as the first step of our proposed method separated the mixed abdominal ECG signal to obtain the noisy FECG. Then for further denoisng and obtain higher SNR, noisy FECG was decomposed by the newly proposed ICEEMDAN that is more accurate for non-linear and non-stationary bio-signal processing. The informative extracted components were then determined based on the statistical significance test. WS de-noising removed the remained noisy subcomponents and finally the baseline wander was reduced by partial reconstruction. The performance of ICA-ICEEMDAN-WS method was evaluated using simulated and real data sets. Our results showed that our proposed method outperformed ICA-EEMD-WS, the recently proposed algorithm based on ensemble empirical mode decomposition