The amplitudes of incipient fault signals are similar to health state signals, which increases the difficulty of incipient fault diagnosis. Multi-scale reverse dispersion entropy (MRDE) only considers difference information with low frequency range, which omits relatively obvious fault features with a higher frequency band. It decreases recognition accuracy. To defeat the shortcoming with MRDE and extract the obvious fault features of incipient faults simultaneously, an improved entropy named hierarchical multi-scale reverse dispersion entropy (HMRDE) is proposed to treat incipient fault data. Firstly, the signal is decomposed hierarchically by using the filter smoothing operator and average backward difference operator to obtain hierarchical nodes. The smoothing operator calculates the mean sample value and the average backward difference operator calculates the average deviation of sample values. The more layers, the higher the utilization rate of filter smoothing operator and average backward difference operator. Hierarchical nodes are obtained by these operators, and they can reflect the difference features in different frequency domains. Then, this difference feature is reflected with MRDE values of some hierarchical nodes more obviously. Finally, a variety of classifiers are selected to test the separability of incipient fault signals treated with HMRDE. Furthermore, the recognition accuracy of these classifiers illustrates that HMRDE can effectively deal with the problem that incipient fault signals cannot be easily recognized due to a similar amplitude dynamic.