Effective bearing fault diagnosis is vital for the safe and reliable operation of rotating machinery. In practical applications, bearings often work at various rotational speeds as well as load conditions. Yet, the bearing fault diagnosis under multiple conditions is a new subject, which needs to be further explored. Therefore, a multi-scale deep belief network (DBN) method integrated with attention mechanism is proposed for the purpose of extracting the multi-scale core features from vibration signals, containing four primary steps: preprocessing of multi-scale data, feature extraction, feature fusion, and fault classification. The key novelties include multi-scale feature extraction using multi-scale DBN algorithm, and feature fusion using attention mechanism. The benchmark dataset from University of Ottawa is applied to validate the effectiveness as well as advantages of this method. Furthermore, the aforementioned method is compared with four classical fault diagnosis methods reported in the literature, and the comparison results show that our proposed method has higher diagnostic accuracy and better robustness.