Hydraulic piston pump is the heart of hydraulic transmission system. On account of the limitations of traditional fault diagnosis in the dependence on expert experience knowledge and the extraction of fault features, it is of great meaning to explore the intelligent diagnosis methods of hydraulic piston pump. Motivated by deep learning theory, a novel intelligent fault diagnosis method for hydraulic piston pump is proposed via combining wavelet analysis with improved convolutional neural network (CNN). Compared with the classic AlexNet, the proposed method decreases the number of parameters and computational complexity by means of modifying the structure of network. The constructed model fully integrates the ability of wavelet analysis in feature extraction and the ability of CNN in deep learning. The proposed method is employed to extract the fault features from the measured vibration signals of the piston pump and realize the fault classification. The fault data are mainly from five different health states: central spring failure, sliding slipper wear, swash plate wear, loose slipper, and normal state, respectively. The results show that the proposed method can extract the characteristics of the vibration signals of the piston pump in multiple states, and effectively realize intelligent fault recognition. To further demonstrate the recognition property of the proposed model, different CNN models are used for comparisons, involving standard LeNet-5, improved 2D LeNet-5, and standard AlexNet. Compared with the models for contrastive analysis, the proposed method has the highest recognition accuracy, and the proposed model is more robust.