Rolling bearing is the key component of rotating machinery, and its vibration signal usually exhibits nonlinear and nonstationary characteristics when failure occurs. Multiscale permutation entropy (MPE) is an effective nonlinear dynamics analysis tool, which has been successfully applied to rolling bearing fault diagnosis in recent years. However, MPE ignores the deep amplitude information when measuring the complexity of the time series and the original multiscale coarse-graining is insufficient, which requires further research and improvement. In order to protect the integrity of information structure, a novel nonlinear dynamic analysis method termed refined composite multiscale slope entropy (RCMSlE) is proposed in this paper, which introduced the concept of refined composite to further boost the performance of MPE in nonlinear dynamical complexity analysis. Furthermore, RCMSlE utilizes a novel symbolic representation that takes full account of mode and amplitude information, which overcomes the weaknesses in describing the complexity and regularity of bearing signals. Based on this, a GWO-SVM multi-classifier is introduced to fulfill mode recognition, and then a new intelligent fault diagnosis method for rolling bearing based on RCMSlE and GWO-SVM is proposed. The experimental results show that the proposed method can not only accurately identify different fault types and degrees of rolling bearing, but also has a short computation time and better performance than other comparative methods.