Intelligent fault diagnosis provides great convenience for the prognostic and health management of the rotating machinery. Recently, the entropy-based feature extraction method has aroused researchers’ attentions due to its independence with prior knowledge, unnecessary of preprocessing, and easy to perform. The multiscale diversity entropy has been proven to be a promising feature extraction method for the intelligent fault diagnosis. Compared to the existing entropy methods, the multiscale diversity entropy has advantages of high consistency, strong robustness and high calculation efficiency. However, the multiscale diversity entropy encounters the challenge to extract features for early fault diagnosis due to the weak fault symptoms and strong noise. This can be attributed to the multiscale diversity entropy only concerns the fault information embedded in the low frequency, which ignores the information hidden in the high frequency. To address this defect, the hierarchical diversity entropy (HDE) is proposed, which can synchronously extract fault information hidden in both high and low frequency. Based on HDE and random forest, a novel intelligent fault diagnosis frame has been proposed. The effectiveness of the proposed method has been evaluated through simulated and experimental bearing signals. The results show that the proposed HDE has the best feature extraction ability compare to multiscale sample entropy, multiscale permutation entropy, multiscale fuzzy entropy, and multiscale diversity entropy.