Aiming at the nonlinearity, nonstationarity and multi-component coupling characteristics of reciprocating compressor vibration signals, an integrated feature extraction method based on the variational mode decomposition (VMD) and multi-fractal detrended fluctuation analysis (MFDFA) is proposed for a fault diagnosis for a reciprocating compressor valve. Firstly, to eliminate the noise interference, a novel VMD method with superior anti-interference performance was utilized to obtain several components of the quasi-orthogonal band-limited intrinsic mode function (BLIMF) from a strong non-stationarity vibration signal, and a consistent number K of BLIMFs was selected based on a novel criterion for all fault states. Secondly, the MFDFA method, which can describe the multi-fractal structure feature of non-stationary time series, was applied to analyze each BLIMF component, and the parameters of MFDFA were employed as the eigenvectors to reflect the structure characteristics and local scale behavior of the vibration signal. Then, the principal component analysis (PCA) was introduced to refine the eigenvectors for a higher recognition efficiency and accuracy. Finally, the vibration signals of four types of reciprocating compressor valve faults were analyzed by this method, and the faults were identified correctly by pattern classifiers of BTSVM and CNN. Further results comparison with other feature extraction methods verifies the superiority of the proposed method.