The invention discloses a feature extraction method for performance degradation evaluation of a rolling bearing. The method comprises the following steps of S1, acquiring vibration signal informationof the rolling bearing; S2, conducting self-adaptive EEMD decomposition on a vibration signal of the rolling bearing; S3, adopting a Bayesian information criterion and a correlation kurtosis method for screening sensitive IMF components, wherein firstly, the Bayesian information criterion is adopted for calculating the number of the sensitive IMF components, secondly, the sensitive components arescreened out according to the values of the correlation kurt (CK), finally, composite spectral analysis is conducted on the sensitive IMF components, and a calculated composite spectral entropy servesas a feature parameter of the performance degradation of the rolling bearing. According to the method, a composite spectral analysis method is adopted for fusing the selected IMF components, the composite spectral entropy is extracted as the degradation feature of the rolling bearing, the sensitivity to the degradation process is high, and the capability of characterizing the degradation processof the rolling bearing by the feature is improved.