The application of signal processing techniques is a fundamental step for fault diagnostic methodologies. The application of empirical mode decomposition (EMD)-based methods such as classic EMD, ensemble EMD (EEMD), and complete EEMD (CEEMD) is presented in this work for the analysis of inrush current signals. This analysis leads to the detection of short-circuited turns in transformers. Results show that CEEMD provides the best performance, as it readily extracts the information related to the fault, requiring of acceptable computational resources. Actual inrush current signals of a transformer with short-circuited turns are also considered. The number of short-circuited turns ranges from 5 to 40. Useful indices, such as the Shannon Entropy, Energy, and root-mean-square value, are obtained from the information provided by the CEEMD approach. These indices are analyzed for both the transient state and the steady state of the current signals, providing the proper quantification of the fault severity.