The fault diagnosis of gearbox and bearing in wind turbine is crucial to improve service life and reduce maintenance cost. This paper proposes a novel fault diagnosis method based on refined generalized composite multi-scale state joint entropy (RGCMSJE), robust spectral learning framework for unsupervised feature selection (RSFS) and extreme learning machine (ELM) to identify the different health conditions of gearboxes, including feature extraction, feature reduction and pattern recognition. In this method, MAED is firstly adopted to assist RGCMSJE in parameter selection. Second, RGCMSJE is utilized to extract the multi-scale features of gearbox vibration signal and construct high-dimension feature set. Thirdly, RSFS method is used to reduce the dimension of high-dimensional RGCMSJE feature set. In the end, the obtained low-dimensional features are input to the ELM classifier to realize fault pattern recognition. Through two gearbox fault diagnosis experiments, the effectiveness of the fault diagnosis method is verified. The analysis results show that this method can effectively and accurately identify different fault types of wind turbine gearbox.