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This paper addresses the application of a deep convolutional fuzzy system (DCFS) for the fault diagnosis of rolling element bearings. The limitations of the conventional deep convolutional neural network (CNN) are the huge computational load of training the tones of parameters and the lack of interpretability for the corresponding parameters. In this paper, a DCFS-based bearing fault diagnosis method under variable working conditions is proposed. The DCFS on a high dimensional input space is a multilayer connection of many low dimensional fuzzy systems, which can overcome the computational and interpretability problems of the traditional CNN. Moreover, to improve the identification efficiency and diagnosis accuracy, the infinite feature selection (Inf-FS) algorithm is employed to select the most informative fault features. The proposed approach is experimentally demonstrated to be able to identify the different fault types and fault severities of rolling bearings under variable running states.