This study discusses the key factors of financial distress warning models for companies using corporate governance variables and financial ratios as the research variables, sieving out influential variables based on the attribute simplification process of rough set theory (RST). Then, we construct some classification models for diagnosing enterprise distress based on RST, using a data mining technique of decision trees with the selected indicators and variables. The empirical results obtained from analysis of enterprise distress indicators, show that financial distress is not only affected by the traditional financial ratios, but also by corporate governance variables. In addition, enterprise distress diagnosis models constructed based on RST and decision trees can effectively diagnose firms in times of crisis. In particular, the RST models are more accurate. This study provides a reference for better understanding the symptoms that might lead to a company’s financial crisis in advance and thus provide a valuable reference for investment decision making by stakeholders.