Rotating machinery is of vital importance in the field of engineering, including aviation and navigation. Its failure will lead to severe loss to personnel safety and the stability of the equipment system. It is a long way to investigate the relevant fault diagnosis method, especially the intelligent fault diagnosis method on the basis of deep learning. In consideration of the limitations of traditional fault diagnosis approaches based on shallow layer network structure, the methods based on deep neural network (DNN) are worthy of thorough exploration. As a common DNN with special structure, deep convolutional neural network is of great concern in intelligent fault diagnosis due to its advantages in processing nonlinear problems. This review will play an emphasis on convolutional neural network (CNN). The basic structure and principle are introduced. The applications of CNN-based fault diagnosis method in rotating machinery are summarized and analyzed. Furthermore, the diagnosis performance and potential mechanism from different CNN methods are discussed. In the end, this review is highlighted on the challenges and the potential key points in research on novel intelligent fault diagnosis strategies. The corresponding analysis and discussion will provide some references and lay the foundation for the investigation in related fields. INDEX TERMS Deep learning, convolutional neural network, intelligent fault diagnosis, rotating machinery.