The invention relates to a self-adaption wavelet neural network abnormity detection and fault diagnosis classification system and method, which can be applied to the fields, such as economic management abnormity detection, image recognition analysis, video retrieval, audio retrieval, signal abnormity detection, safety detection, and the like. The system comprises the following seven parts: an acquisition device, a transmitter device, an A/D (Analog/Digital) conversion device, a self-adaption wavelet neural network abnormity detection and fault diagnosis classification processor, a display interaction device, an abnormity alarm device and an abnormity processing device. The abnormity detection and fault diagnosis classification object of the self-adaption wavelet neural network abnormity detection and fault diagnosis classification system is acquired from samples for which a self-adaption mechanism is automatically established by the self-adaption wavelet neural network of a system to be detected, the characteristic information of a signal can be effectively extracted through wavelet transform multi-scale analysis, and a more accurate abnormity detection and fault diagnosis locating result can be obtained. The device adopting the method has the advantages of generalization, high accuracy in the application field, capability of real-time monitoring and low cost.