In the long-term operation process, rolling bearings often have multiple single faults or cascade faults, which are coupled with each other to form the compound fault. The complex coupling components of compound fault lead to difficultly building a correlation between compound fault feature and fault class. Moreover, for the transfer learning based on domain adaptation, compound fault feature of source domain is pretty different from that of target domain, thus knowledge of source domain is hard to be transferred into the cross-domain unsupervised learning process of target domain. To solve above mentioned problems well, this paper proposes a domain reinforcement feature adaptation methodology with correlation alignment (CA-DRFA) to complete the cross-domain compound fault diagnosis of bearings. Specifically, a deep reinforcement learning model is improved by being combined with the domain adversarial training way, and meanwhile the correlation alignment metrics is adopted to enhance the generalization performance in feature alignment. In addition, a laboratory experiment and an engineering application are performed to demonstrate that CA-DRFA outperforms other popular cross-domain fault diagnosis methods in cross cutting condition and speed transfer tasks. Overall, CA-DRFA is able to implement cross-domain compound fault diagnosis with high accuracy, and effectively reduce the cost of labeling samples.