Abstract Multiscale permutation entropy (MPE) is a recently proposed nonlinear dynamic method for measuring the randomness and detecting the nonlinear dynamic change of time series and can be used effectively to extract the nonlinear dynamic fault feature from vibration signals of rolling bearing. To solve the drawback of coarse graining process in MPE, an improved MPE method called generalized composite multiscale permutation entropy (GCMPE) was proposed in this paper. Also the influence of parameters on GCMPE and its comparison with the MPE are studied by analyzing simulation data. GCMPE was applied to the fault feature extraction from vibration signal of rolling bearing and then based on the GCMPE, Laplacian score for feature selection and the Particle swarm optimization based support vector machine, a new fault diagnosis method for rolling bearing was put forward in this paper. Finally, the proposed method was applied to analyze the experimental data of rolling bearing. The analysis results show that the proposed method can effectively realize the fault diagnosis of rolling bearing and has a higher fault recognition rate than the existing methods.