In the fault monitoring of rotating machinery, the vibration signal of the bearing and gear in a complex operating environment has poor stationarity and high noise. How to accurately and efficiently identify various fault categories is a major challenge in rotary fault diagnosis. Most of the existing methods only analyze the single channel vibration signal and do not comprehensively consider the multi-channel vibration signal. Therefore, this paper presents Refined Composite Multivariate Multiscale Fluctuation Dispersion Entropy (RCMMFDE), a method which extracts the recognition information of multi-channel signals with different scale factors, and the refined composite analysis ensures the recognition stability. The simulation results show that this method has the characteristics of low sensitivity to signal length and strong anti-noise ability. At the same time, combined with Joint Mutual Information Maximisation (JMIM) and support vector machine (SVM), RCMMFDE-JMIM-SVM fault diagnosis method has been proposed. This method uses RCMMFDE to extract the state characteristics of the multiple vibration signals of the rotary machine, and then uses the JMIM method to extract the sensitive characteristics. Finally, different states of the rotary machine are classified by SVM. The validity of the method is verified by the composite gear fault data set and bearing fault data set. The diagnostic accuracy of the method is 99.25% and 100.00%. The experimental results show that RCMMFDE-JMIM-SVM can effectively recognize multiple signals.