The invention discloses an integrated navigation system fault diagnosis method based on Gaussian process regression. The integrated navigation system fault diagnosis method comprises five steps: 1, collecting a sample, and setting a fault detection threshold; 2, initializing a Gaussian process regression model; 3, training the Gaussian process regression model; 4, inputting a system measurement quantity to the Gaussian process regression model so as to obtain a predicted value of Kalman filtering information and a variance of the predicted value; 5, constructing a fault detection quantity, comparing the fault detection quantity with a fault detection threshold, and judging whether a fault occurs. The integrated navigation system fault diagnosis method has the advantages of being easy to realize, being capable of giving the variance of a predicted output value, and the like, and provides an assurance to the reliability and accuracy of combined navigation. Model parameters are remarkably reduced, and hyper-parameters can be conveniently calculated through a numerical analysis method, thus the integrated navigation system fault diagnosis method has the advantage of being easy to realize.