Non-intrusive load monitoring (NILM) is an effective way to achieve demand-side measurement and energy efficiency optimization. This paper studies a method of non-intrusive on-line load monitoring under a high-frequency mode of electric data acquisition, which enables the NILM to be automated and in real-time, including the short-term construction of a dynamic signature library and continuous on-line load identification. Firstly, in the short initial operation phase, load separation and category determination are carried out to construct the load waveform library of the monitoring user. Then, the continuous load monitoring phase begins. Based on the data of each user’s signature library, the decomposition waveforms are classified by convolutional neural network models that are constructed to be suitable for each signature library in order to realize load identification. The real-time power consumption status of the load can be obtained continuously. In this paper, the electricity data of actual users are collected and used to perform the experiments, which show that the proposed method can construct the load signature library adaptively for different users. Meanwhile, the classification of the convolutional neural network model based on a library constructed in actual operation ensures the real-time and accuracy of load monitoring.