The mass access of a power electronics-based source/load resource to a distribution network brings about complex power-quality issues, which aggravate loss problems. This paper proposes a hierarchical loss-optimization design method for the multi-winding inductive filtering transformer applied in a distribution system with the function of harmonic elimination. The transformer parameters are classified hierarchically by means of a Sobol algorithm-based sensitivity analysis, which contributes to reducing the optimization dimension and improving the optimization accuracy. The load harmonic transfer relationship in the inductive filtering transformer is established, and the impedance constraint is obtained. According to the design specification of an inductive filtering transformer, the constraint and optimization parameters of transformer loss optimization are determined. Furthermore, the hierarchical architecture is established through a Sobol sensitivity analysis of the optimized parameters. At last, a case study and simulation are carried out, which show that the transformer loss can be effectively reduced and that optimization algorithms can be applied to further improve the optimization ability.