Compressed sensing (CS) is a promising tool for data compression reconstruction. However, fault diagnosis methods for high-speed train bearings based on CS and acoustic emission (AE) technologies have not been reported yet. Notably, the accuracy and speed of CS two-stage reconstruction methods are affected and restricted by prior initial conditions. Therefore, this article proposes adaptive dynamic thresholds applicable to adaptive stepsize forward–backward pursuit (ASFBP), and bearing health state assessment method. First, the adaptive dynamic thresholds for atom selection and deletion are constructed based on the residual feedback mechanism and the atom quality distribution law, which enables ASFBP to realize high-precision rapid reconstruction of signal without any atom priori initial conditions. Second, the initial dictionary length is improved based on the AE hit characteristics. Furthermore, a damage state comprehensive evaluation index (DSCEI) is established using principal component analysis based on AE time-domain hit parameters and compression-domain energy parameter. Compared with the kurtosis index and permutation entropy index, the DSCEI demonstrates better monotonicity and stability in the quantitative evaluation of high-speed train bearing condition. Finally, the validity and stability of the method are verified by testing under complex test conditions resembling actual high-speed train lines, providing valuable insights for the CS-based data-driven bearing fault diagnosis.