Hydraulic multi-way valves as core components are widely applied in engineering machinery, mining machinery, and metallurgical industries. Due to the harsh working environment, faults in hydraulic multi-way valves are prone to occur, and the faults that occur are hidden. Moreover, hydraulic multi-way valves are expensive, and multiple experiments are difficult to replicate to obtain true fault data. Therefore, it is not easy to achieve fault diagnosis of hydraulic multi-way valves. To address this problem, an effective intelligent fault diagnosis method is proposed using an improved Squeeze-Excitation Convolution Neural Network and Gated Recurrent Unit (SECNN-GRU). The effectiveness of the method is verified by designing a simulation model for a hydraulic multi-way valve to generate fault data, as well as the actual data obtained by establishing an experimental platform for a directional valve. In this method, shallow statistical features are first extracted from data containing fault information, and then fault features with high correlation with fault types are selected using the Maximum Relevance Minimum Redundancy algorithm (mRMR). Next, spatial dimension features are extracted through CNN. By adding the Squeeze-Excitation Block, different weights are assigned to features to obtain weighted feature vectors. Finally, the time-dimension features of the weighted feature vectors are extracted and fused through GRU, and the fused features are classified using a classifier. The fault data obtained from the simulation model verifies that the average diagnostic accuracy of this method can reach 98.94%. The average accuracy of this method can reach 92.10% (A1 sensor as an example) through experimental data validation of the directional valve. Compared with other intelligent diagnostic algorithms, the proposed method has better stationarity and higher diagnostic accuracy, providing a feasible solution for fault diagnosis of the hydraulic multi-way valve.