During long-term operation of analogue circuits, fault diagnosis is important for preventing the occurrence of hazards. However, noise often accompanies sampled signals and makes the task of fault diagnosis more difficult. Therefore, developing a robust feature extraction technique is an indispensable part of fault diagnosis. The locally linear embedding (LLE) algorithm has recently emerged as a promising technique for dimensional reduction and feature extraction because it preserves linear neighborhoods, and it is quite effective when there is a locally linear dependent structure embedded in fault data. However, LLE is sensitive to noise. Therefore, the maximum correntropy criterion is adopted to resist non-Gaussian noise by seeking the optimal weight coefficient, and a half-quadratic optimization procedure is introduced to address the objective function. Moreover, softmax regression is applied to locate faults. Finally, two typical analogue circuit systems are used to demonstrate the robustness of the modified algorithm to non-Gaussian noise. The experimental results show that the robust LLE algorithm can outperform LLE in the extraction of fault features when there is non-Gaussian noise in the fault signals, and the proposed fault diagnosis method has a better effect in locating faults compared with other feature extraction methods.