This paper proposes a new method named composite multiscale fluctuation dispersion entropy (CMFDE), which measures the complexity of time series under different scale factors and synthesizes the information of multiple coarse-grained sequences. A simulation validates that CMFDE could improve the stability of entropy estimation. Meanwhile, a fault recognition method for rolling bearings based on CMFDE, the minimum redundancy maximum relevancy (mRMR) method, and the k nearest neighbor (kNN) classifier (CMFDE-mRMR-kNN) is developed. For the CMFDE-mRMR-kNN method, the CMFDE method is introduced to extract the fault characteristics of the rolling bearings. Then, the sensitive features are obtained by utilizing the mRMR method. Finally, the kNN classifier is used to recognize the different conditions of the rolling bearings. The effectiveness of the proposed CMFDE-mRMR-kNN method is verified by analyzing the standard experimental dataset. The experimental results show that the proposed fault diagnosis method can effectively classify the conditions of rolling bearings.