This paper presents a novel signal processing scheme by combining an improved Vold-Kalman filter and the multi-scale sample entropy (IVKF-MSSE) for planetary gearboxes under non-stationary working conditions. In this scheme, we propose a method based on the characteristic frequency ratio (CFR) to select the VKF bandwidth. First, a CFR is adopted to select a VKF bandwidth with the largest CFR value as the optimal VKF bandwidth. Second, IVKF is used to extract fault-induced information under time-varying speed conditions.