Aiming at the problem of feature extraction of non-stationary, non-linear and weak fault signals, a new feature extraction method based on empirical wavelet transform (EWT) with scale space threshold (STEWT) and improved maximum correlation kurtosis deconvolution (MCKD) with power spectral entropy and grid search (PGMCKD), namely STEWT-PGMCKD is proposed for rolling bearing faults in this paper. In the proposed STEWT-PGMCKD method, the scale space threshold method is designed to solve the problems of falling into local extremum and mode over decomposition caused by the local-max-min band decomposition method of EWT, which is used to decompose the frequency band of signal, and the correlation analysis is carried out between the decomposed modal components and the original signal to retain the modal components with high correlation. Then an adaptive MCKD based on power spectral entropy is proposed to solve the problem that the signal processing effect of MCKD is affected by filter size L and deconvolution period T . Nextly, the parameters of the MCKD are optimized by grid search method. Finally, the power spectrum analysis of the enhanced signal is carried out to realize the feature extraction and fault diagnosis. The experiment results show that the proposed STEWT-PGMCKD method can effectively extract the weak fault information and accurately realize the fault diagnosis for rolling bearings.