Radio continuum observations detect non-thermal synchrotron and thermal bremsstrahlung radiation. Separation of the two different emission components is crucial to study the properties of diffuse interstellar medium. The Cygnus X region is one of the most complex areas in the radio sky which contains a number of massive stars and HII regions on the diffuse thermal and non-thermal background. More supernova remnants are expected to be discovered. We aim to develop a method which can properly separate the non-thermal and thermal radio continuum emission and apply it to the Cygnus X region. The result can be used to study the properties of different emission components and search for new supernova remnants in the complex. Multi-frequency radio continuum data from large-scale surveys are used to develop a new component separation method. Spectral analysis is done pixel by pixel for the non-thermal synchrotron emission with a realistic spectral index distribution and a fixed spectral index of beta = -2.1 for the thermal bremsstrahlung emission. With the new method, we separate the non-thermal and thermal components of the Cygnus X region at an angular resolution of 9.5arcmin. The thermal emission component is found to comprise 75% of the total continuum emission at 6cm. Thermal diffuse emission, rather than the discrete HII regions, is found to be the major contributor to the entire thermal budget. A smooth non-thermal emission background of 100 mK Tb is found. We successfully make the large-extent known supernova remnants and the HII regions embedded in the complex standing out, but no new large SNRs brighter than Sigma_1GHz = 3.7 x 10^-21 W m^-2 Hz^-1 sr^-1 are found.
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