The equipment condition monitoring based on computer hearing is a new pattern recognition approach, and the system formed by it has the advantages of noncontact and strong early warning abilities. Extracting effective features from the sound data of the running power equipment help to improve the equipment monitoring accuracy. However, the sound of running equipment often has the characteristics of serious noise, non-linearity and instationary, which makes it difficult to extract features. To solve this problem, a feature extraction method based on the improved complementary ensemble empirical mode decomposition with adaptive noise (ICEEMDAN) and multiscale improved permutation entropy (MIPE) is proposed. Firstly, the ICEEMDAN is utilized to obtain a group of intrinsic mode functions (IMFs) from the sound of running power equipment. The noise IMFs are then identified and eliminated through mutual information (MI) and mean mutual information (meanMI) of IMFs. Next, the normalized mutual information (norMI) and MIPE are calculated respectively, and norMI is utilized to weigh the corresponding MIPE result. Finally, based on the separability criterion, the weighted MIPE results are feature-dimensionally reduced to obtain the multiscale entropy feature of the sound. The experimental results show that the classification accuracies of the method under the conditions of no noise and 5 dB reach 96.7% and 89.9%, respectively. In practice, the proposed method has higher reliability and stability for the sound feature extraction of the running power equipment.