Winding fault is one of the most common types of transformer faults. The frequency response method is a common diagnosis method for winding fault detection. In order to improve the feature extraction ability of the frequency response curve before and after the winding fault, this paper proposes a winding fault feature extraction method based on the moving window algorithm to improve the Euclidean distance and correlation coefficient and uses a support vector machine to diagnose winding fault. “Moving window meter algorithm” refers to the fixed moving window width and window moving interval, scanning the entire frequency response curve from the initial point to the end point of the frequency response curve, using the correlation coefficient (CC) and Euclidean distance (ED) to calculate the mathematical index of each window. The mathematical index of each window is used as the characteristic quantity of fault type classification. Finally, the grid search algorithm is used to optimize the support vector machine to classify and identify the type of winding fault. At the same time, the standard support vector machine s(SVM) and back propagation neural network algorithm (BPNN) are compared with the support vector machine optimized by the grid search method to diagnose the fault type. The research shows that the improved correlation coefficient and Euclidean distance using the moving window algorithm are more sensitive to winding faults than the traditional calculation methods. The combination of the two calculation methods makes up for the shortcomings of their respective methods. The fault features obtained meet the requirements of the support vector machine for fault diagnosis, and the grid search method-optimized support vector machine classification algorithm has a good classification and recognition effect on the identification of fault types. The effectiveness and superiority of this method are further illustrated.