The classification of disturbance signals is of great significance for improving power quality. The existing methods for power quality disturbance classification require a large number of samples to train the model. For small sample learning, their accuracy is relatively limited. In this paper, a hybrid algorithm of k-nearest neighbor and fully-convolutional Siamese network is proposed to classify power quality disturbances by learning small samples. Multiple convolutional layers and full connection layers are used to construct the Siamese network, and the output result of the Siamese network is used to judges the category of the signal. The simulation results show that: For small sample sizes, the accuracy of the proposed approach is significantly higher than that of the existing methods. In addition, it has a strong anti-noise ability.