The invention provides a cascading failure set construction method capable of combining weighting power flow entropy with whole-process simulation. The method comprises the following steps that: A: establishing simulation data; B: calculating weighting power flow entropy; C: monitoring exciting current; D: judging whether the exciting current is out of limit or not; E: calculating key branches ina power grid to form a key branch set; F: calculating power flow after any branch in the key branch set is cut off; G: arranging cascading failure sequences to form a cascading failure set; and H: starting a whole-process dynamic simulation program, calculating the cascading failure set formed in G one by one, if the cascading failure happens, causing a power grid to lose stability, finishing simulation, and if a situation that power grid instability is caused by the cascading failure does not happen, jumping to D. By use of the cascading failure set construction method capable of combining the weighting power flow entropy with the whole-process simulation, the coverage range of the fault set can be guaranteed, and fault forms can be specifically screened.