An Ensemble Empirical Mode Decomposition (EEMD) and Jensen Rényi divergence (JRD) based methodology is proposed for the degradation assessment of rolling element bearings using vibration data. The EEMD decomposes vibration signals into a set of intrinsic mode functions (IMFs). A systematic methodology to select IMFs that are sensitive and closely related to the fault is proposed in the paper. The change in probability distribution of the energies of the sensitive IMFs is measured through JRD which acts as a damage identification parameter. Evaluation of JRD with sensitive IMFs makes it largely unaffected by change/fluctuations in operating conditions. Further, an algorithm based on Chebyshev's inequality is applied to JRD to identify exact points of change in bearing health and remove outliers. The identified change points are investigated for fault classification as possible locations where specific defect initiation could have taken place. For fault classification, two new parameters are proposed: ‘α value’ and Probable Fault Index, which together classify the fault. To standardize the degradation process, a Confidence Value parameter is proposed to quantify the bearing degradation value in a range of zero to unity. A simulation study is first carried out to demonstrate the robustness of the proposed JRD parameter under variable operating conditions of load and speed. The proposed methodology is then validated on experimental data (seeded defect data and accelerated bearing life test data). The first validation on two different vibration datasets (inner/outer) obtained from seeded defect experiments demonstrate the effectiveness of JRD parameter in detecting a change in health state as the severity of fault changes. The second validation is on two accelerated life tests. The results demonstrate the proposed approach as a potential tool for bearing performance degradation assessment.