The power converter is the significant device in a wind power system. Wind turbine will be shut down and off grid immediately with the occurrence of the IGBT module open-circuit fault of power converter, which will seriously impact the stability of grid and even threaten personal safety. However, in the existing diagnosis strategies of power converter, there are few single and double IGBT modules open-circuit fault diagnosis methods producing negative results including erroneous judgment, omissive judgment and low accuracy. In this paper, a novel method to diagnose the single and double IGBT modules open-circuit faults of the permanent magnet synchronous generator (PMSG) wind turbine grid-side converter (GSC) is proposed. Above all, collecting the three-phase current varying with wind speed of 22 failure states including a normal state of PMSG wind turbine GSC as the original signal data. Afterward, the original signal data are decomposed by using variational mode decomposition (VMD) to obtain the mode coefficient series, which are analyzed by the proposed method base on fault trend feature for extracting the trend feature vectors. Finally, the trend feature vectors are used as the input of deep belief network (DBN) for decision-making and obtaining the classification results. The simulation and experimental results show that the proposed method can diagnose the single and double IGBT modules open-circuit faults of GSC, and the accuracy is higher than the benchmark models.