Based on splitting multi-symplectic structures, a new multi-symplectic scheme is proposed and applied to a nonlinear wave equation. The explicit multi-symplectic scheme of the nonlinear wave equation is obtained, and the corresponding multi-symplectic conservation property is proved. The backward error analysis shows that the explicit multi-symplectic scheme has good accuracy. The sine-Gordon equation and the Klein-Gordon equation are simulated by an explicit multi-symplectic scheme. The numerical results show that the new explicit multi-symplectic scheme can well simulate the solitary wave behaviors of the nonlinear wave equation and approximately preserve the relative energy error of the equation.