Effective fault diagnosis methods can ensure the safe and reliable operation of the machines. In recent years, deep learning technology has been applied to diagnose various mechanical equipment faults. However, in real industries, the data distribution under different working conditions is often different, which leads to serious degradation of diagnostic performance. In order to solve the issue, this study proposes a new deep convolutional domain adaptation network (DCDAN) method for bearing fault diagnosis. This method implements cross-domain fault diagnosis by using the labeled source domain data and the unlabeled target domain data as training data. In DCDAN, firstly, a convolutional neural network is applied to extract features of source domain data and target domain data. Then, the domain distribution discrepancy is reduced through minimizing probability distribution distance of multiple kernel maximum mean discrepancies (MK-MMD) and maximizing the domain recognition error of domain classifier. Finally, the source domain classification error is minimized. Extensive experiments on two rolling bearing datasets verify that the proposed method can implement accurate cross-domain fault diagnosis under different working conditions. The study may provide a promising tool for bearing fault diagnosis under different working conditions.