Industrial plants involve a large amount of equipment, which generate a large amount of data. By analyzing this data, the operator can diagnose anomaly in the plant. Analyzing this data is difficult and time taking task. A method and system for diagnosing anomaly in an industrial system in a time efficient and convenient manner has been provided. The system is configured to diagnose the anomaly by finding out one or more sensors responsible for the anomaly. The present disclosure treats the anomaly detection model as a score generating function. Whenever for a particular instance the score given by the anomaly detection model crosses a pre-determined threshold, anomaly is reported and the diagnosis algorithm is triggered. The system is configured to diagnose the anomaly predicted in case of time series as well as non-time series data.