This paper established the fault diagnosis system of aluminum electrolysis, according to the characteristics of the faults in aluminum electrolysis. This system includes two subsystems; one is process fault subsystem and the other is fault subsystem. Process fault subsystem includes the subneural network layer and decision fusion layer. Decision fusion neural network verifies the diagnosis result of the subneural network by the information transferring over the network and gives the decision of fault synthetically. EMD algorithm is used for data preprocessing of current signal in stator of the fault subsystem. Wavelet decomposition is used to extract feature on current signal in the stator; then, the system inputs the feature to the rough neural network for fault diagnosis and fault classification. The rough neural network gives the results of fault diagnosis. The simulation results verify the feasibility of the method.