Combined harmonic wavelet packet with matching pursuit, an adaptive decomposing method was presented. In the proposed method, the time-frequency atoms could be adaptively selected from the harmonic wavelet packet dictionary. Non-stationary signal could be decomposed into a number of independent frequency sub-bands and the frequency overlapping and leakage was avoided. The proposed algorithm is simple and has good resolution. The simulation results showed that the proposed approach is superior to the wavelet packet transform and matching pursuit based on wavelet packet. At last, the proposed method has been applied to the fault diagnosis of bearing and rotor system, the experiment result showed the proposed method is effective.