Feature extraction is one of the challenging problems in fault diagnosis, and it has a direct bearing on the accuracy of fault diagnosis. Therefore, in this paper, a new method based on ensemble empirical mode decomposition (EEMD), wavelet semi-soft threshold (WSST) signal reconstruction, and multi-scale entropy (MSE) is proposed. First, the EEMD method is applied to decompose the vibration signal into intrinsic mode functions (IMFs), and then, the high-frequency IMFs, which contain more noise information, are screened by the Pearson correlation coefficient. Then, the WSST method is applied for denoising the high-frequency part of the signal to reconstruct the signal. Secondly, the MSE method is applied for calculating the MSE values of the reconstructed signal, to construct an eigenvector with the complexity measure. Finally, the eigenvector is input to a support vector machine (SVM) to find the fault diagnosis results. The experimental results prove that the proposed method, with a better classification performance, can better solve the problem of the effective signal and noise mixed in high-frequency signals. Based on the proposed method, the fault types can be accurately identified with an average classification accuracy of 100%.Entropy 2020, 22, 290 2 of 28 functions (IMFs) by EMD [10]. Aiming at the shortcomings of the EMD, such as modal mixture and end effect, which affect the accuracy of signal decomposition [11], Wu et al. [12] improved the EMD method with auxiliary noise and proposed the ensemble empirical mode decomposition (EEMD) method.The EEMD method results in signal decomposition with anti-noise characteristics, reduces reconstruction errors, and improves the quality of IMFs by adding Gaussian white noise to the original signal. Therefore, the EEMD method is widely used in signal processing and fault diagnosis [13]. However, when the EEMD method is applied independently for decomposing signals and reducing noise, the information in the high-frequency components is also lost as some IMFs are discarded [14]. The WT method has a good performance on the suppression of random noise by having the properties of multi-scale, low entropy, and decorrelation [15]. Jumah et al. [16] proposed a method using wavelet transform and various thresholding techniques, which has a good effect on removing one-dimensional Gaussian white noise. However, there is no uniform standard for the operation of the wavelet threshold method, which has a greater impact on the final result. The wavelet hard threshold denoising method generates discontinuous points and loses some vital information [17]. The wavelet soft threshold denoising method causes distortion phenomena, such as edge blur effect [18].Although the wavelet threshold denoising method effectively removes noise from high-frequency signals, the effect is not ideal, and the useful signals still mix with noise signals. Nevertheless, the wavelet semi-soft threshold with the advantages of the hard and soft threshold can not only preserve the integrity of the signal but al...