The utilization of multiscale entropy methods to characterize vibration signals has proven to be promising in intelligent diagnosis of mechanical equipment. However, in the current multiscale entropy methods, only the information in the low-frequency range is utilized and the information in the high-frequency range is discarded. In order to take full advantage of the information, in this paper, a fault feature extraction method utilizing the bidirectional composite coarse-graining process with fuzzy dispersion entropy is proposed. To avoid the redundancy of the full frequency range feature information, the Random Forest algorithm combined with the Maximum Relevance Minimum Redundancy algorithm is applied to feature selection. Together with the K-nearest neighbor classifier, a rolling bearing intelligent diagnosis framework is constructed. The effectiveness of the proposed framework is evaluated by a numerical simulation and two experimental examples. The validation results demonstrate that the extracted features by the proposed method are highly sensitive to the bearing health conditions compared with hierarchical fuzzy dispersion entropy, composite multiscale fuzzy dispersion entropy, multiscale fuzzy dispersion entropy, multiscale dispersion entropy, multiscale permutation entropy, and multiscale sample entropy. In addition, the proposed method is able to identify the fault categories and health states of rolling bearings simultaneously. The proposed damage detection methodology provides a new and better framework for intelligent fault diagnosis of rolling bearings in rotating machinery.