Rolling Bearing Compound Fault (RBCF) is characterized by randomness, sequentiality, coupling, and concealment, which is one of the primary causes for unscheduled downtime of rotating machinery. Therefore, timely detecting defects is essential to reduce downtime and ensure safety of equipment. This paper provides a systematic review for the existing applications and developments of diagnosis methods of RBCF since 2004. Categorized as fault mechanism analysis methods based on analytical model, feature extraction methods based on signal processing, and pattern recognition methods based on artificial intelligence, and their diagnostic frameworks are summarized in detail, respectively. The advantages and disadvantages of the reviewed methods are concluded. The challenges and prospects for the diagnosis methods of RBCF are analyzed and discussed in further. This work can offer valuable insights and research inspiration for academic scholars and industry engineers in diagnosing compound faults for rolling bearing.