Effective open-circuit fault diagnosis for a two-level three-phase pulse-width modulating (PWM) rectifier can reduce the failure rate and prevent unscheduled shutdown. Nevertheless, traditional signal-based feature extraction methods show poor distinguishability for insufficient fault features. Shallow learning diagnosis models are prone to fall into local extremum, slow convergence speed, and overfitting. In this paper, a novel fault diagnosis strategy based on modified ensemble empirical mode decomposition (MEEMD) and the beetle antennae search (BAS) algorithm optimized deep belief network (DBN) is proposed to cope with these problems. Initially, MEEMD is applied to extract useful fault features from each intrinsic mode function (IMF) component. Meanwhile, to remove features with redundancy and interference, fault features are selected by calculating the importance of each feature based on the extremely randomized trees (ERT) algorithm, and the dimension of fault feature vectors is reduced by principal component analysis. Additionally, the DBN stacked with two layers of a restricted Boltzmann machine (RBM) is selected as the classifier, and the BAS algorithm is used as the optimizer to determine the optimal number of units in the hidden layers of the DBN. The proposed method combined with feature extraction, feature selection, optimization, and fault classification algorithms significantly improves the diagnosis accuracy.