The performance of non-intrusive load monitoring (NILM) system is closely related to the uniqueness and comprehensiveness of the load features extracted from the equipment. However, existing feature extraction methods for NILM are difficult to extract interpretable intuitive features representing the uniqueness of load, and lack of comprehensive attention to the features on different time scales. Therefore, this paper proposes a multi-time-scale shapelet based feature extraction framework. First, shapelet, the most unique segment of a sequence, which can distinguish it from other sequences is introduced as a feature and multi-time-scale current shapelets are proposed to extract comprehensive characteristics of electric appliances and offer intuitive interpretability. Meanwhile, a shapelet transform is constructed, so that the essence of shapelet based NILM is transformed from sequence matching to a general classification problem. Next, an ensemble bagging classifier is proposed on multi-time scales to effectively balance the classification errors on each time scale and enhance the performance of NILM system. In addition, this framework can support small sample training to facilitate rapid deployment of NILM applications at the initial practical stage. The results show that this framework can effectively focus on the uniqueness of load on different time scales, provide interpretability for NILM, and achieve good classification effects.