Reliable fault detection is an essential requirement for safe and efficient operation of complex mechanical systems in various industrial applications. Despite the abundance of existing approaches and the maturity of the fault detection research field, the interdependencies between condition monitoring data have often been overlooked. Recently, graph neural networks have been proposed as a solution for learning the interdependencies among data, and the graph autoencoder (GAE) architecture, similar to standard autoencoders, has gained widespread use in fault detection. However, both the GAE and the graph variational autoencoder (GVAE) have fixed receptive fields, limiting their ability to extract multiscale features and model performance. To overcome these limitations, we propose two graph neural network models: the graph wavelet autoencoder (GWAE), and the graph wavelet variational autoencoder (GWVAE). GWAE consists mainly of the spectral graph wavelet convolutional (SGWConv) encoder and a feature decoder, while GWVAE is the variational form of GWAE. The developed SGWConv is built upon the spectral graph wavelet transform which can realize multiscale feature extraction by decomposing the graph signal into one scaling function coefficient and several spectral graph wavelet coefficients. To achieve unsupervised mechanical system fault detection, we transform the collected system signals into PathGraph by considering the neighboring relationships of each data sample. Fault detection is then achieved by evaluating the reconstruction errors of normal and abnormal samples. We carried out experiments on two condition monitoring datasets collected from fuel control systems and one acoustic monitoring dataset from a valve. The results show that the proposed methods improve the performance by around 3%~4% compared to the comparison methods.