Local linear embedding (LLE) algorithm mainly depends on local structures to extract significant features; however, the local structures are sensitive to the selection of neighborhood parameters. To solve this problem, the dual-weight local linear embedding algorithm based on adaptive neighborhood (AN-DWLLE) is proposed. First, the neighborhood parameter is adaptively estimated by computing the distances between the inquiry point and the centers of the inquiry point’s candidate neighborhoods. Then, the neighbor sequence and the local linear structures are integrated to construct the robust local structure that can be used to extract the significant features. A large number of experiments are performed on two bearing data sets. The experimental results illustrate that, compared with other related methods, the AN-DWLLE algorithm can extract more salient features and has greater dimensionality reduction effect.