For the unsteady characteristics of a fault vibration signal from a wind turbine rolling bearing, a bearing fault diagnosis method based on adaptive local iterative filtering and approximate entropy is proposed. The adaptive local iterative filtering method is used to decompose original vibration signals into a finite number of stationary components. The components which comprise major fault information are selected for further analysis. The approximate entropy of the selected components is calculated as a fault feature value and input to a fault classifier. The classifier is based on the nearest neighbor algorithm. The vibration signals from a spherical roller bearing on a wind turbine in its normal state, with an outer race fault, an inner race fault and a roller fault are analyzed. The results show that the proposed method can accurately and efficiently identify the fault modes present in the rolling bearings of a wind turbine.