Extracting useful features from ship-radiated noise can improve the performance of passive sonar. The entropy feature is an important supplement to existing technologies for ship classification. However, the existing entropy feature extraction methods for ship-radiated noise are less reliable under noisy conditions because they lack noise reduction procedures or are single-scale based. In order to simultaneously solve these problems, a new feature extraction method is proposed based on improved complementary ensemble empirical mode decomposition with adaptive noise (ICEEMDAN), normalized mutual information (norMI), and multiscale improved permutation entropy (MIPE). Firstly, the ICEEMDAN is utilized to obtain a group of intrinsic mode functions (IMFs) from ship-radiated noise. The noise reduction process is then conducted by identifying and eliminating the noise IMFs. Next, the norMI and MIPE of the signal-dominant IMFs are calculated, respectively; and the norMI is used to weigh the corresponding MIPE result. The multi-scale entropy feature is finally defined as the sum of the weighted MIPE results. Experimental results show that the recognition rate of the proposed method achieves 90.67% and 83%, respectively, under noise free and 5 dB conditions, which is much higher than existing entropy feature extraction algorithms. Hence, the proposed method is more reliable and suitable for feature extraction of ship-radiated noise in practice.