In order to realize intelligent diagnosis of high voltage shunt reactor, a fault diagnosis method based on cross-wavelet transform is proposed in this paper. Firstly, the vibration signal test platform is built to collect the reactor vibration signals under different conditions. The cross-wavelet power spectrum of reactor under three states is compared and analyzed. The reactor faults are qualitatively analyzed by the changes of color, saliency level curve and phase angle in the spectrum. The characteristic frequency band of the signal is determined and the characteristics are extracted. In frequency band, RGB parameters and phase angle information are extracted to construct feature matrices. Finally, matrix acquaintance degree is used to qualify the difference between different feature matrices. With the decrease of compression force, the correlation among D2, D3 and D4 bands decreases, while the correlation between D6 bands increases. In addition, the characteristic matrix of reactor under different states has obvious difference, and the matrix similarity index can quantify the difference in the cross-wavelet spectrum after loosening.