Fault localization is one of the most important issues for the modular multilevel converters (MMC) consisting of lots of switches. This article proposes a switch open-circuit fault localization strategy for the MMC, where a sliding-time window (STW) based features extraction algorithm (FEA) is proposed to extract the features of the MMC based on the feature relationship between neighboring STWs. Based on the extracted features, the fault in the MMC can be easily located with the 2-D convolutional neural networks. The proposed STW-FEA-based fault localization strategy can constructs concise low-data-volume features samples for the MMC in both time domain and frequency domain, and accordingly it can locate the fault with short time and high accuracy for the MMC. In addition, it does not require the creation of complex mathematical models and manual setting of empirical thresholds. Simulation and experiment are conducted, and the results confirm the effectiveness of the proposed strategy.