Rolling bearing is one of the most critical components in rotating machinery, so in order to efficiently select features, reduce feature dimensions and improve the correctness of fault diagnosis, a feature selection and fusion method based on weighted multi-dimensional feature fusion is proposed. Firstly, features are extracted from different domains to constitute the original high-dimensional feature set. Considering the large number of invalid and redundant features contained in such original feature set, a feature selection process that combines with support vector machine (SVM) single feature evaluation, correlation analysis and principal component analysis-weighted load evaluation (PCA-WLE) is put forward in this paper for selecting sensitive features. The selected features are weighted and fused according to their sensitivity so as to further weaken the interference of low important features. Finally, this process is applied to the data provided by the Case Western Reserve University Bearing Data Center and Xi'an Jiaotong University School of Mechanical Engineering, respectively, and the fault is diagnosed by using the particle swarm optimization-support vector machine (PSO-SVM). The results show that this method can accurately identify different fault categories and degrees of bearing, which is superior and practical than single-domain fault diagnosis with higher recognition ability. INDEX TERMS Features selection, feature weighting, sensitive features, fault diagnosis.