In the fault diagnosis of UAVs, extremely imbalanced data distribution and vast differences in effects of fault modes can drastically affect the application effect of a data-driven fault diagnosis model under the limitation of computing resources. At present, there is still no credible approach to determine the cost of the misdiagnosis of different fault modes that accounts for the interference of data distribution. The performance of the original cost-insensitive flight data-driven fault diagnosis models also needs to be improved. In response to this requirement, this paper proposes a two-step ensemble cost-sensitive diagnosis method based on the operation and maintenance data of UAV. According to the fault criticality from FMECA information, we defined a misdiagnosis hazard value and calculated the misdiagnosis cost. By using the misdiagnosis cost, a static cost matrix could be set to modify the diagnosis model and to evaluate the performance of the diagnosis results. A two-step ensemble cost-sensitive method based on the MetaCost framework was proposed using stratified bootstrapping, choosing LightGBM as meta-classifiers, and adjusting the ensemble form to enhance the overall performance of the diagnosis model and reduce the occupation of the computing resources while optimizing the total misdiagnosis cost. The experimental results based on the KPG component data of a large fixed-wing UAV show that the proposed cost-sensitive model can effectively reduce the total cost incurred by misdiagnosis, without putting forward excessive requirements on the computing equipment under the condition of ensuring a certain overall level of diagnosis performance.