To overcome the shortcomings that the early fault characteristics of rolling bearing are not easy to be extracted and the identification accuracy is not high enough, a novel collaborative diagnosis method is presented combined with VMD and LSSVM for incipient faults of rolling bearing. First, the basic concept of VMD was introduced in detail, and then, the adaptive selection principle of parameter K in VMD was constructed by instantaneous frequency mean. Furthermore, we used Lagrangian polynomial and Euclidean norm to verify the value of K accurately. Secondly, we proposed a classification algorithm based on PSO-optimized LSSVM. Meanwhile, the flowchart of the classification algorithm of fault modes may be also designed. Third, the experiment shows that the presented algorithm in this paper is effective by using the existing failure data provided by the laboratory of Guangdong Petrochemical Research Institute. Finally, some conclusions and application prospects were discussed.