Deep learning methods have been successfully applied to learn feature representations for high‐dimensional data, where the learned features are able to reveal the nonlinear properties exhibited in the data. In this paper, deep learning method is exploited for feature extraction of hyperspectral data, and the extracted features can provide good discriminability for classification task. Training a deep network for feature extraction and classification includes unsupervised pretraining and supervised fine‐tuning. We utilized stacked denoise autoencoder (SDAE) method to pretrain the network, which is robust to noise. In the top layer of the network, logistic regression (LR) approach is utilized to perform supervised fine‐tuning and classification. Since sparsity of features might improve the separation capability, we utilized rectified linear unit (ReLU) as activation function in SDAE to extract high level and sparse features. Experimental results using Hyperion, AVIRIS, and ROSIS hyperspectral data demonstrated that the SDAE pretraining in conjunction with the LR fine‐tuning and classification (SDAE_LR) can achieve higher accuracies than the popular support vector machine (SVM) classifier.