In practical centrifugal compressor fault diagnosis, it is very difficult to improve the fault recognition rate, especially when the sample sizes are small. To solve this problem, a new fault recognition method based on fuzzy gray relational grade was proposed. Firstly, according to fuzzy set theory, the fuzzy relation coefficient (FRC), fuzzy relation degree (FRD) and fuzzy relative weights (FRW) of all fault features were calculated. Secondly, the gray system theory was used to obtain the gray relational coefficients (GRC). Thirdly, by combining FRW and GRC, two fuzzy gray relation grades (FGRG) were presented, which is the Hamming distance-based fuzzy gray relation grade (HD-FGRG) and the Euclidean distance-based fuzzy gray relation grade (ED-FGRG), respectively. Finally, the fault recognition results were obtained by using the max membership degree principle. The centrifugal compressor fault diagnosis results show that the ED-FGRG method is more effective and accurate than traditional gray relational analysis (T-GRA) method, the weighted gray relational analysis (W-GRA) method, and the entropy weight-based gray relational analysis (EW-GRA) method and the HD-FGRG method.