This article investigates robust multiple fault detection (FD) and fault estimation (FE) schemes, based on adaptive finite‐time observer (AFTO), applied to nonlinear systems with disturbances, actuator faults, and sensor faults. The AFTO is designed, and a parameter adaptive law is constructed to continuously optimize the residual based performance function to improve the AFTO robustness. The schemes are able to simultaneously detect and estimate unknown states, disturbances, and faults. The AFTO's design, finite‐time convergence and stability conditions are guaranteed in terms of linear matrix inequalities. Finally, simulation results, based on two typical practical systems, are given to illustrate the effectiveness of the proposed approaches. The simulation results also show that the designed AFTO can offer faster convergence speed, higher estimation accuracy, and stronger robustness than conventional observer and sliding mode observer.