Feature selection is to obtain effective features from data, also known as feature engineering. Traditional feature selection and predictive model learning are separated, and there is a problem of inconsistency of criteria. This paper presents an end-to-end feature selection and diagnosis method that organically unifies feature expression learning and machine prediction learning into one model. The algorithm first combines the prediction model to calculate the mean impact value (MIVs) of the feature and realizes primary feature selection for the prediction model by selecting the feature with a larger MIV. In order to take into account the performance of the feature itself, the within-class and between-class discriminant analysis (WBDA) method is proposed, and combined with the feature diversity strategy, the feature-oriented secondary selection is realized. Eventually, feature vectors obtained by two selections are classified using a multi-class support vector machine (SVM). Compared with the modified network variable selection algorithm (MIVs), the principal component analysis dimensionality reduction algorithm (PCA), variable selection based on compensative distance evaluation technology (CDET), and other algorithms, the proposed method MIVs-WBDA exhibits excellent classification accuracy owing to the fusion of feature selection and predictive model learning. According to the results of classification accuracy testing after dimensionality reduction on rotating machinery status, the MIVs-WBDA method has a 3% classification accuracy improvement under the low-dimensional feature set. The typical running time of this classification learning algorithm is less than 10 s, while using deep learning, its running time will be more than a few hours.