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Fault diagnosis of rolling bearing is important for ensuring the safe operation of industrial machinery. In order to improve diagnosis accuracy of bearing fault, a rolling bearing fault diagnosis method based on multiscale combined morphological filter (MCMF) and self-adaption improved multiscale fuzzy entropy (SAIMFE) is proposed in this paper. First, the MCMF is designed to eliminate noise and preserve fault information more effectively. Second, SAIMFE is proposed to extract bearing fault features, and the optimized scale factor of SAIMFE is determined based on the absolute skewness. Third, some experiments are completed to demonstrate the effectiveness and superiority of the proposed method. The experimental results show that the proposed method not only has high diagnosis accuracy but also less dependent on the diagnosis model.