Degradation stage prediction, which is crucial to monitoring the health condition of rolling bearings, can improve safety and reduce maintenance costs. In this paper, a novel degradation stage prediction method based on hierarchical grey entropy (HGE) and a grey bootstrap Markov chain (GBMC) is presented. Firstly, HGE is proposed as a new entropy that measures complexity, considers the degradation information embedded in both lower- and higher-frequency components and extracts the degradation features of rolling bearings. Then, the HGE values containing degradation information are fed to the prediction model, based on the GBMC, to obtain degradation stage prediction results more accurately. Meanwhile, three parameter indicators, namely the dynamic estimated interval, the reliability of the prediction result and dynamic uncertainty, are employed to evaluate the prediction results from different perspectives. The estimated interval reflects the upper and lower boundaries of the prediction results, the reliability reflects the credibility of the prediction results and the uncertainty reflects the dynamic fluctuation range of the prediction results. Finally, three rolling bearing run-to-failure experiments were conducted consecutively to validate the effectiveness of the proposed method, whose results indicate that HGE is superior to other entropies and the GBMC surpasses other existing rolling bearing degradation prediction methods; the prediction reliabilities are 90.91%, 90% and 83.87%, respectively.