Identification of rolling bearing fault patterns, especially for the compound faults, has attracted notable attention and is still a challenge in fault diagnosis. Intelligent diagnosis method is an effective method for compound faults of rolling element bearing, and effective fault feature extraction is the key step to decide the intelligent diagnosis result to some extent. The sparse decomposition method could capture the complex impulsive characteristic components of rolling bearing more effectively than the other time–frequency analysis method when compound fault arises in rolling bearing. Based on the self-learning dictionary under different operating states of the device corresponding to the special features modes, an intelligent diagnosis method of rolling bearing compound faults based on device state dictionary set sparse decomposition feature extraction–hidden Markov model is proposed in the article. First, characteristic dictionaries of rolling bearing under different operating conditions are extracted by sparse decomposition self-learning method, and state dictionary set of rolling bearing is constructed. Then, the compound fault signals of bearing are transformed into sparse domain using the constructed dictionary set to extract sparse features. At last, the extracted sparse features are used as training and testing vectors of hidden Markov model, and satisfactory intelligent diagnosis results are obtained. The validity of the proposed method is verified by compound faults of rolling element bearing. In addition, the advantages of the proposed method are also verified by comparing with the other feature extraction and intelligent diagnosis methods, and the proposed method provides a feasible and efficient solution for fault diagnosis of rolling bearing compound faults.