The multi-sensor data fusion technique plays a significant role in fault diagnosis and in a variety of such applications, and the Dempster–Shafer evidence theory is employed to improve the system performance; whereas, it may generate a counter-intuitive result when the pieces of evidence highly conflict with each other. To handle this problem, a novel multi-sensor data fusion approach on the basis of the distance of evidence, belief entropy and fuzzy preference relation analysis is proposed. A function of evidence distance is first leveraged to measure the conflict degree among the pieces of evidence; thus, the support degree can be obtained to represent the reliability of the evidence. Next, the uncertainty of each piece of evidence is measured by means of the belief entropy. Based on the quantitative uncertainty measured above, the fuzzy preference relations are applied to represent the relative credibility preference of the evidence. Afterwards, the support degree of each piece of evidence is adjusted by taking advantage of the relative credibility preference of the evidence that can be utilized to generate an appropriate weight with respect to each piece of evidence. Finally, the modified weights of the evidence are adopted to adjust the bodies of the evidence in the advance of utilizing Dempster’s combination rule. A numerical example and a practical application in fault diagnosis are used as illustrations to demonstrate that the proposal is reasonable and efficient in the management of conflict and fault diagnosis.