In the light of the significance of the rotating machinery and the possible severe losses resulted from its unexpected defects, it is vital and meaningful to exploit the effective and feasible diagnostic methods of its faults. Among them, the emphasis of the analysis approaches for fault type and severity is on the extraction of useful components in the fault features. On account of the common cyclostationarity of vibration signal under faulty states, fault diagnosis methods based on cyclostationary analysis play an essential role in the rotatory machine. Based on it, the fundamental definition and classification of cyclostationarity are introduced briefly. The mathematical principles of the essential cyclic spectral analysis are outlined. The significant applications of cyclostationary theory are highlighted in the fault diagnosis of the main rotating machinery, involving bearing, gear, and pump. Finally, the widely-used methods on the basis of cyclostationary theory are concluded, and the potential research directions are prospected.