Aiming at shortcomings of traditional leakage detection methods based on pressure signal, such as high false positive rate and false negative rate, and large location error, a leakage detection and location method of oil and gas pipeline based on Markov feature is designed. First of all, a Markov chain is built from the pipeline pressure data, at the same time, the dynamic features are extracted; then, in order to detect all pressure data sample states, the NeymanPearson anomaly detection method is applied to the dynamic features; meanwhile, the detection results are corrected through checking whether the detected abnormal samples are matching with the same source signal; last, similarity location method and continuous wavelet location method are combined to determine the time difference of the pressure changes at both ends of the pipe, and the leakage is located according the information of pipeline length and pressure wave transmission speed. The method presented in this paper can be used in the detection and localization of little leakage and slow leakage, is easy to implement; moreover, the false positive rate and false negative rate are significantly decreased, the positioning accuracy is improved. The historical data analysis verifies the effectiveness and feasibility of the proposed method.