As one type of power quality (PQ) disturbance sources, high-speed rail (HSR) can have major impacts on the power supply grid. Providing timely and accurate warning information for PQ problems of HSR is important for the safe and stable operation of traction power supply systems and the power supply grid. This study proposes a novel warning approach to identify PQ problems and provide warning prompts based on the monitored data of HSR. To embody the displacement and status change of monitored data, multi-features of different sliding windows are computed. To reflect the relative importance degree of these features in the overall evaluation, an analytic hierarchy process (AHP) is used to analyse the weights of multi-features. Finally, a multi-features similarity algorithm is applied to analyse the difference between monitored data and the reference data of HSR, and PQ warning results based on dynamic thresholds can be analysed to quantify its severity. Cases studies demonstrate that the proposed approach is effective and feasible, and it has now been applied to an actual PQ monitoring platform.