Sparsity-based fault diagnosis methods have achieved great success. However, fault classification is still challenging because of neglected potential knowledge. This paper proposes a combined sparse representation deep learning (SR-DEEP) method for rolling bearing fault diagnosis. Firstly, the SR-DEEP method utilizes prior domain knowledge to establish a sparsity-based fault model. Then, based on this model, the corresponding regularization parameter regression networks are trained for different running states, whose core is to explore the latent relationship between the regularization parameters and running states. Subsequently, the performance of the fault classification is improved by embedding the trained regularization parameter regression networks into the sparse representation classification method. This strategy improves the adaptability of the sparse regularization parameter, further improving the performance of the fault classification method. Finally, the applicability of the SR-DEEP method for rolling bearing fault diagnosis is validated with the CWRU platform and QPZZ-II platform, demonstrating that SR-DEEP yields superior accuracies of 100% and 99.20% for diagnosing four and five running states, respectively. Comparative studies show that the SR-DEEP method outperforms four sparse representation methods and seven classical deep learning classification methods in terms of the classification performance.