The invention discloses a failure prediction and health management system of a vehicle-mounted train set. The failure prediction and health management system comprises a reserved number of vehicle level PHM sub systems and a train set level PHM sub system. Each vehicle level PHM sub system is provided with a vehicle intelligent mirror image model, and the train set level PHM sub system is providedwith a train set intelligent mirror image model. The system adopts a distribution type structure, and can perceive relevant information from a part level to a sub system level to the vehicle, the portability of the system is high, transparent management and analysis on the train state are achieved based on the vehicle-mounted intelligent mirror image model, the cost spent on vehicle-mounted trainset failure prediction and health management system analysis and application is lowered, the rapid response capability of enterprises is improved, the state maintenance capability is achieved, and the proportion of service income of the enterprises is increased.