Rolling bearings play an important role in rotating machinery. If a fault occurs, it can cause equipment shutdown, and in severe cases, endanger the safety of on-site personnel. Therefore, it is necessary to diagnose the fault. In response to the difficulty in extracting fault features of rolling bearings and the low accuracy of traditional classification methods, this paper proposes a fault diagnosis method based on Set Empirical Mode Decomposition (EEMD) energy entropy and Golden Jackal Optimization Algorithm (GJO) optimized Kernel Extreme Learning Machine (KELM), achieving the goal of extracting fault features of rolling bearings and correctly classifying them. Through experimental data validation, this method can extract the fault information features hidden in the original signal of rolling bearings, with a diagnostic accuracy of up to 98.47%.