This study investigates the application of nonlinear Principal Component Analysis (PCA), implemented through the use of Auto-Associative Neural Network (AANN), for early warning of impending gas turbine failure. The study is based on a real operational data set that includes a compressor failure. The analyzed data set consists of measured operational parameters whose identity are unknown, hence this study presents a purely data driven approach to the problem of early warning. In this case study, the use of AANNs for early detection of abnormal engine behavior could have provided the operator with a warning a few days prior to the fully developed failure, which resulted in a forced shut-down and extensive maintenance. Furthermore, a comparison is made between the nonlinear PCA by AANNs and the standard PCA model, which is an inherently linear method. The result shows that the AANN provides a more reliable detection of the failure by a higher residual generation during failure mode as well as fewer false indications prior to the failure. Consequently, this study shows that nonlinear PCA as performed with AANNs can be a valuable data driven tool for early warning of gas turbine failure.