Accurately identifying the health status of train running gear bearings is crucial to en-sure the quality of operation. As the early fault information of bearings is weak and submerged in the complex noise environment, which is difficult to diagnose. Therefore, a new weak fault diagnosis approach for train running gear bearings based on variational mode decomposition (VMD) with improved performance and refined weighted kurtosis (RWK) index is proposed to solve this problem. First, an improved grey wolf optimizer (IGWO) based on a variety of strategies is proposed. Secondly, the VMD performance is improved using the IGWO algorithm, and the improved VMD is used to process the early weak signals of bearings. A new fault-sensitive index called the RWK is proposed to detect the mode with the most fault information. Finally, the envelope analysis of the characteristic signals is performed to achieve the early weak fault diagnosis of bearings. Compared with the other nine optimization algorithms, the IGWO algorithm has strong optimization ability, stable performance and a fast convergence speed. Four cases verify that the RWK index has the highest sensitivity to fault information and can more effec-tively filter out modal components containing rich fault information than the compari-son methods.