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With the gradual introduction of deep learning into the field of information hiding, the capacity of information hiding has been greatly improved. Therefore, a solution with a higher capacity and a good visual effect had become the current research goal. A novel high-capacity information hiding scheme based on improved U-Net was proposed in this paper, which combined improved U-Net network and multiscale image analysis to carry out high-capacity information hiding. The proposed improved U-Net structure had a smaller network scale and could be used in both information hiding and information extraction. In the information hiding network, the secret image was decomposed into wavelet components through wavelet transform, and the wavelet components were hidden into image. In the extraction network, the features of the hidden image were extracted into four components, and the extracted secret image was obtained. Both the hiding network and the extraction network of this scheme used the improved U-Net structure, which preserved the details of the carrier image and the secret image to the greatest extent. The simulation experiment had shown that the capacity of this scheme was greatly improved than that of the traditional scheme, and the visual effect was good. And compared with the existing similar solution, the network size has been reduced by nearly 60%, and the processing speed has been increased by 20%. The image effect after hiding the information was improved, and the PSNR between the secret image and the extracted image was improved by 6.3 dB.