Sharding is currently one of the mainstream technologies for solving the scalability problem in blockchain systems. However, with the increase in shard numbers, the coordination and management of cross-shard transactions become more complex, limiting the scalability of the system. Existing methods usually split cross-shard transactions into multiple sub-transactions for processing, which not only reduces throughput but also increases transaction latency. This paper proposes a blockchain sharding protocol based on multi-shard storage to address this issue. In this protocol, nodes can store data from multiple shards, and nodes that store the same shard set form a consensus zone, which can directly handle cross-shard transactions and improve transaction processing efficiency. We propose a priority sorting mechanism to defend against double-spending attacks effectively. In addition, we introduce a P-probability return update completion proof mechanism to ensure node data consistency while enhancing blockchain security. Finally, we conduct a security analysis and performance testing of this protocol. The results show that the multi-shard storage protocol has significant advantages in terms of throughput, latency, and security compared to traditional sharding protocols.