In practice, faulty samples of wind turbine (WT) gearboxes are far smaller than normal samples during operation, and most of the existing fault diagnosis methods for WT gearboxes only focus on the improvement of classification accuracy and ignore the decrease of missed alarms and the reduction of the average cost. To this end, a new framework is proposed through combining the Spearman rank correlation feature extraction and cost-sensitive LightGBM algorithm for WT gearbox’s fault detection. In this article, features from wind turbine supervisory control and data acquisition (SCADA) systems are firstly extracted. Then, the feature selection is employed by using the expert experience and Spearman rank correlation coefficient to analyze the correlation between the big data of WT gearboxes. Moreover, the cost-sensitive LightGBM fault detection framework is established by optimizing the misclassification cost. The false alarm rate and the missed detection rate of the WT gearbox under different working conditions are finally obtained. Experiments have verified that the proposed method can significantly improve the fault detection accuracy. Meanwhile, the proposed method can consistently outperform traditional classifiers such as AdaCost, cost-sensitive GBDT, and cost-sensitive XGBoost in terms of low false alarm rate and missed detection rate. Owing to its high Matthews correlation coefficient scores and low average misclassification cost, the cost-sensitive LightGBM (CS LightGBM) method is preferred for imbalanced WT gearbox fault detection in practice.