The vibration response of faulty bearing is always characterized by periodic transient impulses in the signal. Generally, these fault-related features are inevitably submerged in noise and harmonic components. Mathematical morphology is an excellent method of noise reduction, which can retain the detail information of impulses in the time domain. However, the filtering effect of traditional morphological operator (MO) might be easily affected by random impulses, and the proper selection of the structure element (SE) depends heavily on the experience of researchers. In order to effectively remove these interferences and extract the fault features accurately, an improved method, named adaptive morphological filter (AMF), is proposed in this article. This method utilizes autocorrelation to lift MO in time domain to enhance periodic components, and the scale of SE can, therefore, be calculated with the local maximum of the autocorrelation spectrum. Since the selection of the optimal SE scale is adaptive, researchers’ experience is no longer needed, and there is also no need to calculate the fault characteristic frequency (FCF) for the determination of maximum scale of SE. The vibration and acoustical signals of faulty locomotive wheel set bearing are analyzed with this method, and the results verify its effectiveness and ability.