This paper proposes a diagnosis method of ball screw preload loss through the Hilbert-Huang Transform (HHT) and Multiscale entropy (MSE) process when machine tool is in operation. Maximum dynamic preload of 2% and 4% ball screws are predesigned, manufactured and conducted experimentally. Vibration signal patterns are examined and revealed by Empirical Mode Decomposition (EMD) with Hilbert Spectrum. Different preload features are extracted and discriminated by using HHT. The irregularity development of ball screw with preload loss is determined and abstracting via MSE based on complexity perception. The experiment results successfully show preload loss can be envisaged by the proposed methodology.