Dissolved gas analysis (DGA) in transformer oil, which analyzes its gas content, is valuable for promptly detecting potential faults in oil-immersed transformers. Given the limitations of traditional transformer fault diagnostic methods, such as insufficient gas characteristic components and a high misjudgment rate for transformer faults, this study proposes a transformer fault diagnosis model based on multi-scale approximate entropy and optimized convolutional neural networks (CNNs). This study introduces an improved sparrow search algorithm (ISSA) for optimizing CNN parameters, establishing the ISSA-CNN transformer fault diagnosis model. The dissolved gas components in the transformer oil are analyzed, and the multi-scale approximate entropy of the gas content under different fault modes is calculated. The computed entropy values are then used as feature parameters for the ISSA-CNN model to derive diagnostic results. Experimental data analysis demonstrates that multi-scale approximate entropy effectively characterizes the dissolved gas components in the transformer oil, significantly improving the diagnostic efficiency. Comparative analysis with BPNN, ELM, and CNNs validates the effectiveness and superiority of the proposed ISSA-CNN diagnostic model across various evaluation metrics.