Data-driven based rolling bearing fault diagnosis has been widely investigated in recent years. However, in real-world industry scenarios, the collected labeled samples are normally in a different data distribution. Moreover, the features of bearing fault in the early stages are extremely inconspicuous. Due to the above mentioned problems, it is difficult to diagnose the incipient fault under different scenarios by adopting the conventional data-driven methods. Therefore, in this paper a new unsupervised rolling bearing incipient fault diagnosis approach based on transfer learning is proposed, with a novel feature extraction method based on a statistical algorithm, wavelet scattering network, and a stacked auto-encoder network. Then, the geodesic flow kernel algorithm is adopted to align the feature vectors on the Grassmann manifold, and the k-nearest neighbor classifier is used for fault classification. The experiment is conducted based on two bearing datasets, the bearing fault dataset of Case Western Reserve University and the bearing fault dataset of Xi’an Jiaotong University. The experiment results illustrate the effectiveness of the proposed approach on solving the different data distribution and incipient bearing fault diagnosis issues.