Since rolling bearings determine the stable operation of industrial equipment, it is necessary to carry out their fault diagnosis. To improve fault diagnosis accuracy, a fault diagnosis method based on a stacked sparse autoencoder (SSAE) combined with a softmax classifier is proposed in this paper. Firstly, SSAE is used to extract frequency-domain features of vibration signals. Then, the improved K-fold cross-validation is employed to obtain the features' pre-train set, train set, and test set. Finally, the SSAE- model is constructed via the pre-train set, while the tuned model is built via the train set. The model performance is evaluated based on Accuracy, Macro-precision, Macro-recall, and Macro-F1score. The proposed model is validated by Case Western Reserve University and XJTU-SY data with 99.15% and 100% accuracy, respectively.