A new fault feature extraction method for rolling element bearing is put forward in this paper based on the adaptive local iterative filtering (ALIF) algorithm and the modified fuzzy entropy. Due to the bearing vibration signals’ non-stationary and nonlinear characteristics, the ALIF method, which is a new approach for the analysis of the non-stationary signals, is used to decompose the original vibration signals into a series of mode components. Fuzzy entropy (FuzzyEn) is a nonlinear dynamic parameter for measuring the signals’ complexity. However, it only emphasizes the signals’ local characteristics while neglecting its global fluctuation. Considering the global fluctuation of bearing vibration signals will change with the bearing working condition varying, we modified the FuzzyEn. The modified FuzzyEn (MFuzzyEn) of the first few modes obtained by the ALIF is utilized to form the fault feature vectors. Subsequently, the corresponding feature vectors are input into the multi-class SVM classifier to accomplish the bearing fault identification automatically. The experimental analysis demonstrates that the presented ALIF-MFuzzyEn-SVM approach can effectively recognize the different fault categories and different levels of bearing fault severity.