In the fault monitoring of rolling bearings, there is always loud noise, leading to poor signal stationariness. How to accurately and efficiently identify the fault type of rolling bearings is a challenge. Based on multivariate multiscale sample entropy (mvMSE), this paper introduces the refined composite mvMSE (RCmvMSE) into the fault extraction of the rolling bearing. A rolling bearing fault-diagnosis method based on stacked auto encoder and RCmvMSE (SDAE-RCmvMSE) is proposed. In the actual environment, the fault-diagnosis method use the multichannel vibration signals of the bearing as the input of stacked denoising autoencoders (SDAEs) to filter the noise of the vibration signals. The features of denoise signals are extracted by RCmvMSE and the rolling bearing operation-state diagnosis is completed with a support-vector machine (SVM) model. The results show that in the original test data, the accuracy rates of SDAE-RCmvMSE, RCmvMSE, and commonplace features of vibration signals combined with SVM (CFVS-SVM) methods are 99.5%, 100%, and 96% respectively. In the data with noise, the accuracy rates of RCmvMSE and CFVS-SVM are 97.75% and 93.08%, respectively, but the accuracy of SDAE-RCmvMSE is still 100%.