Because DC conductivities of oil‐paper materials can be easily affected by electric field and temperature, the electrical properties under electro‐thermal coupling of oil‐paper materials should be considered when optimising the insulation structure of valve‐side winding of the converter transformer. Based on the finite element multi‐physical field coupling simulation, the multi‐objective optimisation of main insulation structure of valve‐side winding is carried out. In view of the high time consuming of multi‐physical field calculation and the actual needs of an insulation structure optimisation, the Kriging method and technique for order preference by similarity to the ideal solution (TOPSIS) method are introduced, and combines them with NSGA‐II to obtain a joint algorithm that can be used for the optimisation of insulation structure of the converter transformer. By using the joint algorithm of multi‐objective optimisation, the insulation structure configuration scheme of valve‐side winding is optimised. It can be seen from the experiment result that, on the one hand, the joint algorithm adopted can obtain the insulation structure configuration scheme that meets the design requirements. On the other hand, when facing the configuration scheme optimisation under multi‐field coupling, the computational time required by this method is only 0.15 % of that required by original genetic algorithm.