In a hybrid vehicle, a hybrid type lubrication control valve which is a solenoid valve type turned on/off by electricity is used as a lubrication system component for circulating lubricating oil to a transmission and an engine clutch. A method includes measuring, by an engine clutch pressure sensor, first engine clutch engagement pressure in an off-state of the independent type lubrication control valve and second engine clutch engagement pressure in an on-state thereof; and determining, by the TCU, whether or not the independent type lubrication control valve is stuck, on the basis of a pressure difference between the first engine clutch engagement pressure and the second engine clutch engagement pressure. The method can diagnose a stuck state of the hybrid type lubrication control valve using hydraulic pressure for operating engine clutch engagement, before starting the vehicle.