As one of the most important components in rotating machinery, it's necessary and essential to monitor the rolling bearing operating condition to prevent equipment failure or accidents. However, in vibration signal processing, the bearing initial fault detection under background noise is quite difficult. Therefore, in this paper a new feature extraction method combining sparse reconstruction and Multiscale Dispersion Entropy (MDErms) is proposed. Firstly, the Sliding Matrix Sequences (SMS) truncation and sparse reconstruction by Hankel-matrix are applied to the vibration signal. Then MDErms is utilized as a characteristic index of vibration signal, which is suitable for a short time series. Additionally, the MDErms is employed in the sparse reconstructed matrix sequences to achieve the Multiscale Fusion Entropy Value Sequence (MFEVS). The MFEVS keeps the fault potential feature information in different scales and is superior in distinguishing fault periodic impulses from heavy background noise. Finally, the designed FIR bandpass filter based on the MFEVS, shows prominent features in denoising and detecting weak bearing faults, which is separately verified by simulation studies and artificial fault experiments in different cases. By comparison with traditional methods like EEMD, Wavelet Packet (WP), and fast kurtogram, it can be concluded that the proposed method has a remarkable ability in removing noise and detecting rolling bearing faint fault.