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Fault diagnosis is vital for modern industry, and an increasing number of intelligent methods have been proposed for the fault diagnosis. However, most of the studies focus on distinguishing different fault patterns while ignoring fault deterioration. In this paper, a new hierarchical convolutional neural network (HCNN) is proposed as the two-level hierarchical diagnosis network, and it has two characteristics: 1) the fault pattern and fault severity are modeled as one hierarchical structure and 2) the fault pattern and fault severity can be estimated at the same time. Based on these, a new structure of HCNN is designed, which has two classifiers. Then, a two-stage training method is developed for HCNN to train these two classifiers at once training. The proposed HCNN is conducted on three case studies and has achieved state-of-the-art results. The results show that HCNN outperforms traditional two-layer hierarchical fault diagnosis network, and other machine learning and deep learning methods. [ABSTRACT FROM AUTHOR]