Due to the strong concealment of electricity theft and the limitation of inspection resources, the number of power theft samples mastered by the power department is insufficient, which limits the accuracy of power theft detection. Therefore, a data augmentation method for electricity theft detection based on the conditional variational auto-encoder (CVAE) is proposed. Firstly, the stealing power curves are mapped into low dimensional latent variables by using the encoder composed of convolutional layers, and the new stealing power curves are reconstructed by the decoder composed of deconvolutional layers. Then, five typical attack models are proposed, and the convolutional neural network is constructed as a classifier according to the data characteristics of stealing power curves. Finally, the effectiveness and adaptability of the proposed method is verified by a smart meters’ data set from London. The simulation results show that the CVAE can take into account the shapes and distribution characteristics of samples at the same time, and the generated stealing power curves have the best effect on the performance improvement of the classifier than the traditional augmentation methods such as the random oversampling method, synthetic minority over-sampling technique, and conditional generative adversarial network. Moreover, it is suitable for different classifiers.