In this paper, composite multiscale weighted permutation entropy (CMWPE) is proposed to evaluate the complexity of nonlinear time series, and the advantage of the CMWPE method is verified through analyzing the simulated signal. Meanwhile, considering the complex nonlinear dynamic characteristics of fault rolling bearing signal, a rolling bearing fault diagnosis approach based on CMWPE, joint mutual information (JMI) feature selection, and k-nearest-neighbor (KNN) classifier (CMWPE-JMI-KNN) is proposed. For CMWPE-JMI-KNN, CMWPE is utilized to extract the fault rolling bearing features, JMI is applied for sensitive features selection, and KNN classifier is employed for identifying different rolling bearing conditions. Finally, the proposed CMWPE-JMI-KNN approach is used to analyze the experimental dataset, the analysis results indicate the proposed approach could effectively identify different fault rolling bearing conditions.