A parallel control strategy in capacity proportion frequency allocation mode for shunt active power filters (APFs) is proposed to overcome some of the difficulties in high power applications. To improve the compensation accuracy and overall system stability, an improved selective harmonic current control based on multiple synchronous rotating reference coordinates is presented in a single APF unit, which approximately implements zero steady-state error compensation. The combined decoupling strategy is proposed and theoretically analyzed to simplify selective harmonic current control. Improved selective harmonic current control forms the basis for multi-APF parallel operation. Therefore, a parallel control strategy is proposed to realize a proper optimization so that the APFs with a larger capacity compensate more harmonic current and the ones with a smaller capacity compensate less harmonic current, which is very practical for accurate harmonic current compensation and stable grid operation in high power applications. This is verified by experimental results. The total harmonic distortion (THD) is reduced from 29% to 2.7% for a typical uncontrolled rectifier load with a resistor and an inductor in a laboratory platform.