Normal operation of the pressure sensor is important for the safe operation of the locomotive electro-pneumatic brake system. Sensor fault diagnosis technology facilitates detection of sensor health. However, the strong nonlinearity and variable process noise of the brake system make the sensor fault diagnosis become challenging. In this paper, an adaptive unscented Kalman filter- (UKF-) based fault diagnosis strategy is proposed, aimed at detecting bias faults and drift faults of the equalizing reservoir pressure sensor in the brake system. Firstly, an adaptive UKF based on the Sage-Husa method is applied to accurately estimate the pressure transients in the equalizing reservoir of the brake system. Then, the residual is generated between the estimated pressure by the UKF and the measured pressure by the sensor. Afterwards, the Sequential Probability Ratio Test is used to evaluate the residual so that the incipient and gradual sensor faults can be diagnosed. An experimental prototype platform for diagnosis of the equalizing reservoir pressure control system is constructed to validate the proposed method.