The rotary steerable drilling tools (RSDTs) are invented for high-precision wellpath control. Fault diagnosis is essential for the RSDT as it can improve the reliability of the drilling processes. To estimate the sensor fault of the RSDT, this paper investigates the interval estimation problem for Lipschitz nonlinear systems with sensor fault via the set-membership approach. Firstly, the RSDT is modeled by a discrete-time Lipschitz nonlinear system with unknown inputs, noises, and parameter uncertainties. Next, based on the ellipsoid bundles, a set-membership fault estimator is presented, where the unknown inputs are decoupled. Additionally, a sufficient condition, which is derived based on the P-radius of the ellipsoid bundles, is put forward to design the parameters of the estimator with Lipschitz nonlinear terms. Then, the interval estimations of the states and fault are obtained via ellipsoid bundles. Finally, the efficiency of the proposed approach is evaluated through numerical simulations and experiments.