There is a smoothing reactor and DC filter between the inverter and the direct current line to form a boundary in the HVDC transmission system. Since this boundary presents the stop-band characteristic to the high frequency transient voltage signals, the high-frequency transient voltage signal caused by external faults through boundary will be attenuated and the signals caused by internal faults will be unchanged. The wavelet analysis can be used as a tool to extract the feature of the fault to classify the internal fault and the external fault in HVDC transmission system. This paper explores the new method of wavelet based Multi-Resolution Analysis for signal decomposition to classify the difference types fault.