A transformer failure identification and location diagnosis method based on a multi-stage transfer learning theory is provided. Simulation is set up first, a winding parameter of a transformer to be tested is calculated, and a winding equivalent circuit is accordingly built. Different failures are configured for the equivalent circuit, and simulation is performed to obtain a large number of sample data sets. A sweep frequency response test is performed on the transformer to be tested, and detection data sets are obtained. Initial network training is performed on simulation data sets by using the transfer learning method, and the detection data sets are further trained accordingly. A failure support matrix obtained through diagnosis is finally fused. The multi-stage transfer learning theory is provided by the disclosure.