This paper proposes a fault diagnosis method for solenoid valves in urban railway braking systems. For dominant failure modes of solenoid valves, sensor signals including electrical current, and input and output pressure were acquired and analyzed. The physical behaviors of the solenoid valves are modeled analytically. Numerous forces including magnetic, elastic, and gravity forces are incorporated in the model. With the analytical model and sensor signals, health indices are defined. The health indices are used to quantify the condition of the solenoid valves with different failure modes. Finally, a fault diagnosis method is proposed with the health indices and failure criteria. We anticipate that this study can help decrease maintenance costs and improve reliability of urban railway braking systems.