In many real applications, the ground truths of class labels from voltage dip sequences used for training a voltage dip classification system are unknown, and require manual labelling by human experts. This paper proposes a novel deep active learning method for automatic labelling of voltage dip sequences used for the training process. We propose a novel deep active learning method, guided by a generative adversarial network (GAN), where the generator is formed by modelling data with a Gaussian mixture model and provides the estimated probability distribution function (pdf) where the query criterion of the deep active learning method is built upon. Furthermore, the discriminator is formed by a support vector machine (SVM). The proposed method has been tested on a voltage dip dataset (containing 916 dips) measured in a European country. The experiments have resulted in good performance (classification rate 83% and false alarm 3.2%), which have demonstrated the effectiveness of the proposed method.