Intelligent fault diagnosis methods based on deep learning becomes a research hotspot in the fault diagnosis field. Automatically and accurately identifying the incipient micro-fault of rotating machinery, especially for fault orientations and severity degree, is still a major challenge in the field of intelligent fault diagnosis. The traditional fault diagnosis methods rely on the manual feature extraction of engineers with prior knowledge. To effectively identify an incipient fault in rotating machinery, this paper proposes a novel method, namely improved the convolutional neural network-support vector machine (CNN-SVM) method. This method improves the traditional convolutional neural network (CNN) model structure by introducing the global average pooling technology and SVM. Firstly, the temporal and spatial multichannel raw data from multiple sensors is directly input into the improved CNN-Softmax model for the training of the CNN model. Secondly, the improved CNN are used for extracting representative features from the raw fault data. Finally, the extracted sparse representative feature vectors are input into SVM for fault classification. The proposed method is applied to the diagnosis multichannel vibration signal monitoring data of a rolling bearing. The results confirm that the proposed method is more effective than other existing intelligence diagnosis methods including SVM, K-nearest neighbor, back-propagation neural network, deep BP neural network, and traditional CNN.