In order to analyze the leakage magnetic field and stray loss in power transformer, leakage magnetic field and stray loss in structure parts of a power transformer are calculated by three-dimensional (3-D) non-linear time harmonic finite element method (FEM). The results show that stray loss and loss density in structure parts are large and which may lead to local overheating and affect performance of the transformer. The magnetic shields are used to reduce the stray loss and loss density of power transformer. Effects of these shields on stray loss and loss density of structure parts are discussed. The results show that stray loss and local overheating can be reduced and eliminated effectively by adding magnetic shields. It provides some references for the analysis of stray loss and optimization design in transformer.