The problem of subsynchronous oscillation of power system has become the focus of people's attention under the current trend of power grid interconnection. The subsynchronous oscillation modal analysis provides an important guarantee for the smooth operation of the power grid, so it is necessary to study the subsynchronous oscillation. This paper proposes a new method combining Symplectic Geometric Mode Decomposition (SGMD) and Prony. This method is used for feature extraction of subsynchronous oscillation signals. First, this paper uses SGMD to decompose the multi-component oscillating signal to obtain N symplectic geometric components (SGC), then reconstruct the SGCs into the signal of interest, and finally, use Prony's method to extract the features of the reconstructed signal. In order to verify the effectiveness of SGMD, this algorithm was used to sub-synchronous oscillating signal, the results show that the accuracy of sub-synchronous oscillating signal extraction has been improved.