Hyperspectral anomaly detection (AD) is an important technique of unsupervised target detection and has significance in real situations. Due to the high dimensionality of hyperspectral data, AD will be influenced by noise, nonlinear correlation of band, or other factors that lead to the decline of detection accuracy. To overcome this problem, a method of hyperspectral AD based on stacked denoising autoencoders (AE) (HADSDA) is proposed. Simultaneously, two different feature detection models, spectral feature (SF) and fused feature by clustering (FFC), are constructed to verify the effectiveness of the proposed algorithm. The SF detection model uses the SF of each pixel. The FFC detection model uses a similar set of pixels constructed by clustering and then fuses the set of pixels by the stacked denoising autoencoders algorithm (SDA). The SDA is an algorithm that can automatically learn nonlinear deep features of the image. Compared with other linear or nonlinear feature extraction methods, the detection result of the proposed algorithm is greatly improved. Experiment results show that the proposed algorithm is an excellent feature learning method and can achieve higher detection performance.