To evaluate the state of rolling bearing more accurately, a new feature called composite multiscale weight slope entropy was proposed for the complexity measurement of vibration signals. On the basis of analyzing the fault signal structure, the new feature could consider the influence of the nonlinearity, the multiscale characteristics, the fluctuation of the amplitude, and the amplitude itself on the fault signals. In the following, different fault types and the corresponding damage degree of rolling bearings were identified with the hierarchical prototype-based approach. Compared with the results of different modified slope entropy, it is shown that composite multiscale weight slope entropy could significantly improve the identification accuracy. In the two designed testing schemes, ten and sixty state types of rolling bearings are respectively calculated, and the identification accuracy could reach up to 100% and 96.5% respectively, which illustrate the effectiveness and the validity of the proposed approach.