It is evident that the electrode shift will result in a degradation of myoelectric pattern recognition classification accuracy, which is inevitable during the prosthetic socket donning and doffing. To cope with this limitation, we propose an unsupervised feature extraction method called sparse autoencoder (SAE) to extract the robust spatial structure and correlation of high density (HD) electromyography (EMG). The algorithm is evaluated on nine intact-limbed subjects and one amputee. The experimental results show that SAE achieves lower classification error without shift, and significantly decrease the sensitivity to electrode shift with ±1 cm compared with the timedomain and autoregressive features (TDAR). Furthermore, SAE is not sensitive to the shift direction that is perpendicular to the muscle fibers. The promising results of this study make great contribution to promoting the applications of pattern recognition based myoelectric control system in real-world condition.