In this paper, a novel modular cascaded converter with multi-winding high-frequency (MWHF) transformer is proposed for the applications in medium or high voltage fields. A cascaded H-bridge rectifier is used to connect directly with the input AC source while the step-down transformer is not needed. Then an isolated DC-DC converter composed by a group of H-bridge DC-AC converters and a high frequency transformer with high power density is used to realize isolation of the DC buses produced by the rectifier. A voltage balance control method for all the DC buses under unbalanced loads is proposed in this paper by the energy exchange through the multi-winding transformer, which is realized by the phase adjustment of the windings end voltages. Experiments are implemented to verify the performance of the proposed converter and voltage balance algorithm.