Aiming at the shortcomings of incomplete and inaccurate knowledge-based Bayesian network (BN) construction methods, a BN structure construction method based on knowledge guidance and data mining is proposed. Aiming at the problem of inaccurate single signal fault diagnosis results and the uncertainty problem in fault information, the current signal and the vibration signal are fused to establish the feature nodes of the BN network, and the fault feature parameters of the two signals are extracted respectively. The feature basket is selected using the discrimination index method and used as the node of the BN structure feature layer. The initial BN structure constructed by expert knowledge is combined with the adaptive elite structure genetic algorithm (AESL-GA) for structural optimization. By adaptively restricting the search space in the evolution process, reducing the number of free parameters, improving its global search ability, and obtaining the optimal BN structure. The method is verified by the measured data of the ball mill rolling bearing of Jinchuan Company and the Paderborn University data set, which proves the effectiveness of the proposed method.