Dissolved gas analysis (DGA) is attracting greater and greater interest from researchers as a fault diagnostic tool for power transformers filled with vegetable insulating oils. This paper presents experimental results of dissolved gases in insulating oils under typical electrical and thermal faults in transformers. The tests covered three types of insulating oils, including two types of vegetable oil, which are camellia insulating oil, Envirotemp FR3, and a type of mineral insulating oil, to simulate thermal faults in oils from 90 °C to 800 °C and electrical faults including breakdown and partial discharges in oils. The experimental results reveal that the content and proportion of dissolved gases in different types of insulating oils under the same fault condition are different, especially under thermal faults due to the obvious differences of their chemical compositions. Four different classic diagnosis methods were applied: ratio method, graphic method, and Duval’s triangle and Duval’s pentagon method. These confirmed that the diagnosis methods developed for mineral oil were not fully appropriate for diagnosis of electrical and thermal faults in vegetable insulating oils and needs some modification. Therefore, some modification aiming at different types of vegetable oils based on Duval Triangle 3 were proposed in this paper and obtained a good diagnostic result. Furthermore, gas formation mechanisms of different types of vegetable insulating oils under thermal stress are interpreted by means of unimolecular pyrolysis simulation and reaction enthalpies calculation.