The paper deals with the application of deep learning methods to rotating machines fault diagnosis. The main challenge is to design a fault diagnosis system connected with multisensory measurement system that will be sensitive and accurate enough in detecting weak changes in rotating machines. The experimental part of the research presents the test rig and results of high-speed multisensory measurements. Six states of a rotating machine, including a normal one and five states with loosened mounting bolts and small unbalancing of the shaft, are under study. The application of deep network architectures including multilayer perceptron, convolutional neural networks, residual networks, autoencoders and their combination was estimated. The deep learning methods allowed to identify the most informative sensors, then solve the anomaly detection and the multiclass classification problems. An autoencoder based on ResNet architecture demonstrated the best result in anomaly detection. The accuracy of the proposed network is up to 100% while the accuracy of an expert is up to 65%. A one-dimensional convolutional neural network combined with a multilayer perceptron that contains a pretrained encoder demonstrated the best result in multiclass classification. The detailed fault detection accuracy with the determination of the specific fault is 83.3%. The combinations of known deep network architectures and application of the proposed approach of pretraining of the encoders together with using a block of inputs for one prediction demonstrated high efficiency.