A comprehensive linear stability analysis of convection in the thermogravitational column is first performed for multicomponent fluids. Two types of perturbations are investigated: Longitudinal waves propagating in vertical direction of the column and transversal waves propagating perpendicular to the vertical axis and temperature gradient. The stability problems are reduced to those without cross-diffusion effect by a special transformation. The calculations are performed for binary and ternary mixtures by the Galerkin method. It is found that in binary fluids, the onset of longitudinal instability can be monotonic or oscillatory depending on the separation ratio, which characterizes the Soret effect. The difference between stability characteristics of binary and ternary fluids is associated with different diffusion times of components in a ternary system. It is shown that the mechanism of transversal instability is related to the unstable density stratification in the column (in total or due to individual components). The unstable stratification can only be realized in fluids with negative Soret effect. The analogue of exchange of stabilities principle for a plane column with a multicomponent fluid is proved. The obtained results indicate that the thermogravitational column can be used for measuring diffusion and thermal diffusion coefficients in ternary and higher mixtures with one or several components having negative Soret effect.