A Hilbert–Huang transform (HHT) is a time–frequency technique and has been widely applied to analyzing vibration signals in the field of fault diagnosis of rotating machinery. It analyzes the vibration signals using intrinsic mode functions (IMFs) extracted using empirical mode decomposition (EMD). However, EMD sometimes cannot reveal the signal characteristics accurately because of the problem of mode mixing. Ensemble empirical mode decomposition (EEMD) was developed recently to alleviate this problem. The IMFs generated by EEMD have different sensitivity to faults. Some IMFs are sensitive and closely related to the faults but others are irrelevant. To enhance the accuracy of the HHT in fault diagnosis of rotating machinery, an improved HHT based on EEMD and sensitive IMFs is proposed in this paper. Simulated signals demonstrate the effectiveness of the improved HHT in diagnosing the faults of rotating machinery. Finally, the improved HHT is applied to diagnosing an early rub-impact fault of a heavy oil catalytic cracking machine set, and the application results prove that the improved HHT is superior to the HHT based on all IMFs of EMD.