This paper investigates the finite‐time fault detection problem for large‐scale power systems via the Markov jumping mechanism subject to unknown disturbances. The novel power system is described by a large‐scale system model, and the residual dynamic properties of unknown input signals and fault signals, including unknown disturbances and modelling errors, are obtained by reconstructing the system. Then, the energy norm indicators of the residual disturbance signal and fault signal are, respectively, selected to reflect their suppression effect on disturbance and sensitivity to faults. Moreover, the design of a fault detection observer is formulated as an optimisation problem. Based on Lyapunov theory and linear matrix inequalities (LMI), sufficient conditions for the designed fault detection observer solutions are given, and an optimisation design method is provided. Finally, the simulation results show that the optimised observer can detect the fault signal effectively and can contain the effect of unknown disturbances on the residuals within a given range when a fault occurs.