As a powerful tool for measuring complexity and randomness, multivariate multi-scale permutation entropy (MMPE) has been widely applied to the feature representation and extraction of multi-channel signals. However, MMPE still has some intrinsic shortcomings that exist in the coarse-grained procedure, and it lacks the precise estimation of entropy value. To address these issues, in this paper a novel non-linear dynamic method named composite multivariate multi-scale permutation entropy (CMMPE) is proposed, for optimizing insufficient coarse-grained process in MMPE, and thus to avoid the loss of information. The simulated signals are used to verify the validity of CMMPE by comparing it with the often-used MMPE method. An intelligent fault diagnosis method is then put forward on the basis of CMMPE, Laplacian score (LS), and bat optimization algorithm-based support vector machine (BA-SVM). Finally, the proposed fault diagnosis method is utilized to analyze the test data of rolling bearings and is then compared with the MMPE, multivariate multi-scale multiscale entropy (MMFE), and multi-scale permutation entropy (MPE) based fault diagnosis methods. The results indicate that the proposed fault diagnosis method of rolling bearing can achieve effective identification of fault categories and is superior to comparative methods.