This paper presents a selective harmonic-based pilot protection scheme for detecting faults happened in the DC transmission section of VSC-MTDC grids with pulse width modulation (PWM) voltage source converters (VSCs). When a DC fault occurs in VSC-MTDC grids with PWM converters, first carrier frequency harmonic (FCFH) currents will be generated by all VSCs through the grid. FCFH currents have different flowing directions depending on the characteristics and the location of the fault. According to the characteristics of the existing FCFH in the fault currents, a selective pilot protection algorithm is designed for VSC-MTDC grids. Considering the internal and external DC transmission faults for specific zones, and the circulating flow of FCFH current in the DC link capacitors, the relays cannot detect FCFH currents for external faults, while for the internal faults, FCFH currents are clearly detected. To design the selective protection algorithm, Hilbert-Huang transform (HHT) is used to detect the instantaneous frequency and the instantaneous amplitude of the high frequency intrinsic mode function (IMF)s, which are extracted from the fault current waves. Multiple faults with different characteristics are applied to CIGRE DCS-2 VSC-MTDC grid with two-level and three-level VSCs modeled in PSCAD, and the HHT-based selective protection scheme is designed in MATLAB. According to the results, the proposed algorithm can truly discriminate between internal and external faults.