Natural ester insulating oil is widely used in transformers due to its good fire resistance and biodegradability. It is mainly composed of triglycerides, and there are some differences in fatty acid composition and content among natural esters. Therefore, the fault diagnosis methods based on dissolved gas analysis are different. Three kinds of natural ester insulating oils are used to study the dissolved gas in oil under typical electrical and thermal faults of power transformers. Thermal faults from 200°C to 800°C and electrical faults with different discharge energies, which include partial discharge, breakdown discharge, and arc discharge, are simulated. The characteristic gases and their variation trends of natural esters under thermal and electrical faults are obtained through the experimental results. The gas generation characteristics of the three natural ester insulating oils under typical electrical and thermal faults are almost similar, but the relative percentages of characteristic gases have certain differences. Natural ester insulating oil with a higher unsaturation degree tends to produce more H2 and less C2H4. Finally, the fault diagnosis methods are used to determine the fault gas data, and the Duval pentagon is modified and improved according to the gas generation characteristics of natural esters.