Data-driven methods are the mainstream methods applied in current fault diagnosis research; however, in natural mechanical systems, fault samples are difficult or even impossible to obtain, and physical model-based methods cannot easily model the faults of complex systems. To address the respective limitations of data-driven and model diagnosis methods in fault diagnosis, in this paper, a Bayesian network fault diagnosis method based on a joint model and data modelling is proposed. Conditional Gaussian Bayesian networks are used to fuse discrete and continuous information, and the discrete information in the residuals is used to compensate for the insufficient feature information problem caused by small amounts of data. To address the exponential modeling complexity growth in the case of multiple fault types cases, a single classification method is chosen for fault classification. Meanwhile, the T2 statistics distance suppression method is introduced into the Bayesian network to improve the diagnostic capabilities for new types of faults. By comparing the mainstream methods that address small sample diagnosis and the existing fusion methods, the experimental results show that in cases with small numbers of samples, the method in this paper has good fault diagnosis capabilities by effectively utilizing the model’s diagnostic results to compensate for the diagnostic errors caused by a lack of data, and it has an improved ability to recognize unknown faults.