Based on the combination of improved Local Mean Decomposition (LMD), Multi-scale Permutation Entropy (MPE) and Hidden Markov Model (HMM), the fault types of bearings are diagnosed. Improved LMD is proposed based on the self-similarity of roller bearing vibration signal by extending the right and left side of the original signal to suppress its edge effect. First, the vibration signals of the rolling bearing are decomposed into several product function (PF) components by improved LMD respectively. Then, the phase space reconstruction of the PF1 is carried out by using the mutual information (MI) method and the false nearest neighbor (FNN) method to calculate the delay time and the embedding dimension, and then the scale is set to obtain the MPE of PF1. After that, the MPE features of rolling bearings are extracted. Finally, the features of MPE are used as HMM training and diagnosis. The experimental results show that the proposed method can effectively identify the different faults of the rolling bearing.