After fault occurs, the fault diagnosis of wind turbine system is required accurately and quickly. This paper presents a fault diagnostic method for open-circuit faults in the converter of permanent magnet synchronous generator drive for the wind turbine. To avoid misjudgement or missed judgement caused by improper thresholds, the proposed method applies Local Mean Decomposition and Multiscale Entropy into the converter of wind power system fault diagnosis for the first time. This paper uses a novel multiclass support vector machine to classify the faults hardly diagnosed by other methods. Simulation results show that the method has the characteristics of high adaptability, high accuracy, and less diagnosis time.