Provided is a live measurement method for three-winding transformer loss based on windowed frequency shift. The method includes: step 1: providing an improved live calculation equation of a three-winding transformer loss; step 2: processing a collected x(t) signal by windowed frequency shift calculation; step 3: solving an amplitude and a phase of the collected x(t) signal via discrete Fourier transform of a frequency shift signal; and step 4: calculating a no-load loss and a load loss of a three-winding transformer.