Behind the brilliance of traditional deep learning-based diagnosis methods, the assumption that training data and test data share the same distribution greatly hinders their further application. Because the data distribution discrepancy is common and inevitable in real industrial scenarios due to operating condition variation, it will significantly degrade models' diagnosis performance. Moreover, scarce labeled data can be obtained, and labeling sufficient data is extremely difficult and expensive in engineering applications. Considering these challenges, this paper proposes a novel multiscale feature adversarial fusion network (MFAFN) for rotating machinery fault transfer diagnosis. In our method, the multiscale structural network is employed to extract abundant and complementary multiscale features. The key highlight of MFAFN is that the transferability-based duplex attention mechanism (TDAM) is elaborated and bidirectionally coupled into the network training. Benefiting from TDAM, the representation and learning of the extracted features at different scales are differentially enhanced, thus improving the fused shared feature's transferability and model's adaptability. Furthermore, a double-level adversarial training strategy is implemented to ensure effective adaptation. Therefore, MFAFN can learn domain-invariant diagnosis knowledge rich in discriminative fault information, thereby performing better on the unlabeled target domain. Experimental results of extensive diagnosis tasks built on two datasets and comparisons with other methods validate MFAFN's effectiveness and superiority.