The Frequency Response Analysis (FRA) method is used widely in the winding deformation diagnostics of power transformers. An on-line FRA method of injecting high-frequency excitation signals from the neutral point of the transformer by means of electromagnetic coupling and measuring the response current signal at the root of the bushing has been applied in the field. However, this method encounters the problems of core saturation of the Rogowski coil sensor, excessive power frequency interference, and susceptibility to the outside devices on the operating transformer. Therefore, a Rogowski coil sensor with double windings is designed, in which the measuring coil is responsible for detecting the high-frequency current signal and the anti-saturation coil is used to cancel the magnetic potential of power frequency interference. Theory proves that this method can effectively reduce the influence of power frequency interference. A new transfer function that is used to eliminate the influence of the outside loads is put forward to conduct online FRA for the winding deformation diagnosis on power transformers. The results of experiments demonstrate that the amplitude-frequency curves under different loads have relatively good consistency and are not affected by load changes.