The implementation of demand response requires real-time, fine-grained two-way interaction of power information between grid side and user side. The real-time electricity information contains the user's privacy, such as living habits, interests, etc. the power supplier or attacker can mine and analyze the fine-grained electricity data uploaded by the smart meter, and obtain the user's living habits and work and rest rules, so as to steal the user's privacy. Under the mandatory incentive demand response, power suppliers are faced with the need to identify the power users who do not comply with the demand response plan and protect the privacy of the users who comply with the demand response plan. To solve the above problems, based on fair blind signature and power consumption threshold overload audit, this paper proposes an anonymous user privacy protection scheme under mandatory incentive demand response, designs an anonymous identification algorithm based on fair blind signature and power consumption overload denial proof, and introduces one-way hash chain technology to update smart meter key. This paper presents the implementation process of the scheme. It is proved that the scheme satisfies strong anonymity, unlinkability, unforgeability, recognizability and integrity. Through the example analysis, compared with other schemes, this scheme has lower computational overhead and better communication efficiency.