The invention relates to the technical field of equipment fault monitoring, and particularly discloses an equipment fault warning and state monitoring method. The equipment fault warning and state monitoring method is characterized by including two processes of model building and model operation; the process of model building includes the steps of acquiring training data, performing data preprocessing operation on the training data, then adopting a nonparametric learning algorithm to select a memory matrix, training a residual generator and acquiring a residual threshold of each parameter; the process of model operation includes the steps of acquiring real-time data, performing data preprocessing operation on the real-time data, then calculating all parameter residuals of the real-time data, analyzing the residuals to judge whether the equipment state is normal or not, and further positioning fault causes. The method has the advantages of data-driven method based universality, robustness and high adaptive capability, the shortcoming that warning results are difficult to analyze and explain is avoided, and additionally accuracy and efficiency of fault warning are both improved due to introduction of the nonparametric learning algorithm.