Intelligent fault diagnosis benefits from efficient feature selection. Neighborhood rough sets are effective in feature selection. However, determining the neighborhood value accurately remains a challenge. The wrapper feature selection algorithm is designed by combining the kernel method and neighborhood rough sets to self-adaptively select sensitive features. The combination effectively solves the shortcomings in selecting the neighborhood value in the previous application process. The statistical features of time and frequency domains are used to describe the characteristic of the rolling bearing to make the intelligent fault diagnosis approach work. Three classification algorithms, namely, classification and regression tree (CART), commercial version 4.5 (C4.5), and radial basis function support vector machines (RBFSVM), are used to test UCI datasets and 10 fault datasets of rolling bearing. The results indicate that the diagnostic approach presented could effectively select the sensitive fault features and simultaneously identify the type and degree of the fault.