This paper presents an integrated approach of wavelet and rough set theory for the classification of power quality (PQ) disturbances. Further, the number of features and the rules required for proper classification are decided through rough set approach. Moreover, as the proposed methodology can reduce the number of features extracted through wavelet to a great extent, it will indirectly reduce the memory requirement for the classification procedure. Eleven types of PQ disturbances are considered for classification. The simulation results show that the combination of wavelet and rough set theory can effectively classify different power quality disturbances. Since rule based approach is easy to understand and simple to implement, the rough set technique is a good candidate for the classification of PQ disturbances.