Considering the problem that the early fault signal of rolling bearing is easily interfered with by background information, such as noise, and it is difficult to extract fault features, a method of rolling bearing early fault diagnosis based on the threshold acquisition U-Net (TA-UNet) is proposed. First, to improve the feature extraction ability of U-Net, the channel spatial threshold acquisition network (CS-TAN) and the dilated convolution module (DCM) based on different dilated rate combinations are introduced into the U-Net to construct the TA-UNet. Among them, the CS-TAN can adaptively learn the threshold, reduce the interference of noise in the signal, and the DCM can improve the multi-scale feature extraction ability of the network. Then, the TA-UNet is used for early fault diagnosis, and the method is divided into two steps: The model training phase and the vibration signal fault feature extraction phase. In the first step, additive gaussian white noise is added to the vibration signal to obtain the noise-added vibration signal, and the TA-UNet is trained to learn how to denoise the noise-added vibration signal. In the second step, the trained TA-UNet is used to extract the fault features of vibration signals and diagnose the early fault types of rolling bearing. The two-step method solves the problem that U-Net, as a supervised neural network, needs corresponding labeled data to be trained, as it realizes the fault diagnosis of unlabeled data. The feature extraction capability of the TA-UNet is evaluated by denoising the simulated signal of rolling bearing. The effectiveness of the proposed diagnostic method is demonstrated by the early fault diagnosis of open-source datasets.