To reduce the cost of mistaken diagnoses by properly introducing the cost-sensitive mechanism in the support vector machine(SVM), a weighted cost-sensitive fault diagnostic of the multi-classification SVM is proposed. The votes matrix of the hard decision of the multi-classification SVM is weighted in a cost-sensitive way. The cost of the mistaken diagnosis is used as the weight and fused into the hard decision, and the number of votes of the hard decision and its weight are analyzed so that the probability distribution of every fault can be constructed. Finally, the cost-sensitive weight diagnosis and its probability output of the SVM for the multi-classification faults are realized. The experimental results show that the diagnostic results of the cost-sensitive weight for the multi-classification SVM tend to diagnose high-cost faults, and the proposed method can effectively decrease the cost of fault diagnosis.