This paper investigates the channel selection problem for anti-jamming defense in an adversarial environment. In our work, we simultaneously consider malicious jamming and co-channel interference among users, and formulate this anti-jamming defense problem as a Stackelberg game with one leader and multiple followers. Specifically, the users and jammer independently and selfishly select their respective optimal strategies and obtain the optimal channels based on their own utilities. To derive the Stackelberg Equilibrium, a hierarchical learning framework is formulated, and a hierarchical learning algorithm (HLA) is proposed. In addition, the convergence performance of the proposed HLA algorithm is analyzed. Finally, we present simulation results to validate the effectiveness of the proposed algorithm.