Coal seam hydraulic fracturing (CSHF) has recently been applied to mitigate frequent regional rockburst risk in deep mines before mining practice, as an effective substitute for conventional labor-intensive and time-consuming rockburst prevention measures. Due to the complex nature of CSHF microseismic signals—e.g., nonstationary, transient, and low signal-to-noise ratio—conventional denoising methods tend to yield undesirable results that may preclude reliable evaluation of hydraulic fracturing performance using microseismic data. We propose an advanced denoising method MWPT-IHHT to achieve twice denoising in a fine and adaptive manner. This method combines a multithreshold wavelet packet transform (MWPT) and an improved Hilbert-Huang transform (IHHT), with each being improved compared to their conventional counterparts. A quantitative comparison using synthetic signals suggests the outperformance of the proposed method over the commonly used denoising methods in suppressing noises in terms of signal-to-noise ratio, signal similarity, and energy percentage. The desirable denoising results of two typical real CSHF signals in a CSHF test at Huafeng Coal Mine further demonstrate the applicability and effectiveness of the proposed MWPT-IHHT method.