Supervised data-driven bearing fault diagnosis methods rely on completed datasets of faults, which can be challenging for signals collected in real engineering. Recognizing unknown faults using a data-driven approach is particularly difficult, as purposefully modeling these faults is complex. To address this challenge, this study proposes a new simulation-assisted transfer bearing unknown fault diagnosis method for realizing unknown compound fault diagnosis of rotating machinery. Firstly, finite element method is used to obtain the compound fault data that does not exist in the historical data, and wavelet packet transform is performed on the simulated and measured signals to enhance the detailed features of the signals. Then, a deep convolutional feature fusion network based on hybrid multi-wavelet spatial attention is constructed to fuse the time-frequency information processed by different wavelet bases. Finally, by integrating the concepts of intra-class splitting and transfer learning, the model is fine-tuned using simulation data to recognize unknown compound faults of rolling bearings. The method validates the simulated signals’ feasibility and the unknown faults’ diagnostic validity under the publicly available rolling bearings dataset. Compared to the comparison methods, the method’s accuracy increased by 2.86%, 2.61%, 5.41%, 4.77%, and 7.07%, respectively.