In this paper, the joint noise reduction method and empirical mode decomposition (EMD) are proposed to solve the problem about fault feature extraction of state signals in control systems. In order to restrain impulse noises and Gauss white noises effectively, the improved wavelet threshold noise reduction method combined with median filter is given. The method of endpoint extension, ensemble empirical mode decomposition (EEMD) and correlation coefficient threshold comparison are proposed to overcome the endpoint effect, mode mixing and pseudo components of EMD and to improve the accuracy and rapidity of fault feature extraction. Results of numerical simulation and quad-rotor semi-physical simulation platform test verify the effectiveness and feasibility of the method mentioned in this paper.