The traction converter is one of the key components of high-speed trains. Current and voltage sensor faults in the converter may lead to feedback values deviation and system degradation, which will bring security risks to the train. This paper proposes a real-time fault diagnosis method for grid current, DC-link voltage and stator current sensor faults in the traction converter with two stator current sensors, which can not only detect and locate faults but also identify the types of faults. Moreover, the faults considered in this paper are incipient. First, the DC-link model is established, and the fault is detected by the residual of the DC-link voltage. Next, the differential of DC-link voltage residual is calculated, which is applied to fault location. Then, according to the change of the differential values, different fault types are determined. Finally, the hardware-in-the-loop (HIL) platform is built and the effectiveness and accuracy of the proposed method are verified by the HIL tests.