Effective feature selection can help improve the classification performance in bearing fault diagnosis. This paper proposes a novel feature selection method based on bearing fault diagnosis called Feature-to-Feature and Feature-to-Category- Maximum Information Coefficient (FF-FC-MIC), which considers the relevance among features and relevance between features and fault categories by exploiting the nonlinearity capturing capability of maximum information coefficient. In this method, a weak correlation feature subset obtained by a Feature-to-Feature-Maximum Information Coefficient (FF-MIC) matrix and a strong correlation feature subset obtained by a Feature-to-Category-Maximum Information Coefficient (FC-MIC) matrix are merged into a final diagnostic feature set by an intersection operation. To evaluate the proposed FF-FC-MIC method, vibration data collected from two bearing fault experiment platforms (CWRU dataset and CUT-2 dataset) were employed. Experimental results showed that accuracy of FF-FC-MIC can achieve 97.50%, and 98.75% on the CWRU dataset at the motor speeds of 1750 rpm, and 1772 rpm, respectively, and reach 91.75%, 94.69%, and 99.07% on CUT-2 dataset at the motor speeds of 2000 rpm, 2500 rpm, 3000 rpm, respectively. A significant improvement of FF-FC-MIC has been confirmed, since the p-values between FF-FC-MIC and the other methods are 1.166 × 10 − 3 , 2.509 × 10 − 5 , and 3.576 × 10 − 2 , respectively. Through comparison with other methods, FF-FC-MIC not only exceeds each of the baseline feature selection method in diagnosis accuracy, but also reduces the number of features.