In order to satisfy the requirements of modern online security assessment of power systems with continuously increasing complexity in terms of structure and scale, it is desirable to develop a power system dynamic security region (DSR) analysis. However, data-driven methods suffer from expensive model training costs and overfitting when determining DSR boundaries with high-dimensional grid features. Given this problem, a distributed feature selection method based on grid partition and fuzzy-rough sets is proposed in this paper. The method first employs the Louvain algorithm to partition the power grid and divide the original feature set so that high-dimensional features can be allocated to multiple computational units for distributed screening. At this point, the connections between features of different computational units are minimized to a relatively low level, thereby avoiding large errors in the distributed results. Then, an incremental search algorithm based on the fuzzy-rough set theory (FRST) is used for feature selection at each computational unit, which can effectively take into account the intrinsic connections between features. Finally, the results of all computational units are integrated in the coordination unit to complete the overall feature selection. The experimental results based on the IEEE-39 bus system show that the proposed method can help simplify the power system DSR analysis with high-dimensional features by screening the critical features. And compared with other commonly used filter methods, it has higher screening accuracy and lower time costs.