Brain-computer interface (BCI) is a technology that connects the human brain and external devices. Many studies have shown the possibility of using it to restore motor control in stroke patients. One specific challenge of such BCI is that the classification accuracy is not high enough for multi-class movements. In this study, by using Multivariate Empirical Mode Decomposition (MEMD) and Convolutional Neural Network (CNN), a novel algorithm (MECN) was proposed to decode EEG signals for four kinds of hand movements. Firstly, the MEMD was used to decompose the movement-related electroencephalogram (EEG) signals to obtain the multivariate intrinsic empirical functions (MIMFs). Then, the optimal MIMFs fusion was performed based on sequential forward selection algorithm. Finally, the selected MIMFs were input to the CNN model for discriminating four kinds of hand movements. The average classification accuracy of thirteen subjects over the six-fold cross-validation reached 81.14% for 2s-data before the movement onset and 81.08% for 2s-data after the movement onset. The MECN method achieved statistically significant improvement on the state-of-the-art methods. The results showed that the algorithm proposed in this study can effectively decode four kinds of hand movements based on EEG signals.