An apparatus for diagnosing failure of a piston cooling jet of an engine includes an oil line for a piston cooling jet arranged in a cylinder block in a longitudinal direction, a piston cooling jet mounted at the oil line for the piston cooling jet to inject oil to a piston, a solenoid valve mounted at an inlet of the oil line for the piston cooling jet to selectively allow an injection operation of the piston cooling jet, an oil pressure detecting means mounted at the oil line for the piston cooling jet after the solenoid valve to detect oil pressure, and a control unit configured to receive a detection signal of the oil pressure detecting means and determine whether the solenoid valve is in a failure state.