Power systems are exceedingly faced with extreme events such as natural disasters and deliberate attacks. In comparison, the underground natural gas system is considered less vulnerable to such extreme events. We consider that the overhead power grid can be hardened by replacing segments of electric power grid with underground natural gas pipelines as an energy transportation system to countereffect extreme events which can damage interdependent infrastructures severely. In this paper, an integrated electricity and natural gas transportation system planning algorithm is proposed for enhancing the power grid resilience in extreme conditions. A variable uncertainty set is developed to describe the interactions among power grid expansion states and extreme events. The proposed planning problem is formulated as a two-stage robust optimization problem. First, the influence of extreme events representing natural disasters is described by the proposed variable uncertainty set and the proposed robust model for the integrated planning is solved with the grid resilience represented by a set of constraints. Second, the investment decisions are evaluated iteratively using the conditional events. The integrated electricity and natural gas planning options are analyzed using the modified IEEE-RTS 1979 for enhancing the power grid resilience. The numerical results point out that the proposed integrated planning is an effective approach to improving the power grid resilience.