Growing cybersecurity risks in the power grid require that utilities implement a variety of security mechanism (SM) composed mostly of VPNs, firewalls, or other custom security components. While they provide some protection, they might contain software vulnerabilities which can lead to a cyber-attack. In this paper, the severity of a cyber-attack has been decreased by employing a diverse set of SM that reduce repetition of a single vulnerability. This paper focuses on the allocation of diverse SM and tries to increase the security of the cyber assets located within the electronic security perimeter(ESP) of a substation. We have used a graph-based coloring game in a distributed manner to allocate diverse SM for protecting the cyber assets. The vulnerability assessment for power grid network is also analyzed using this game theoretic method. An improved, diversified SMs for worst-case scenario has been demonstrated by reaching the Nash equilibrium of graph coloring game. As a case study, we analyze the IEEE-14 and IEEE-118 bus system, observe the different distributed coloring algorithm for allocating diverse SM and calculating the overall network criticality.