Electricity theft harms smart grids and results in huge revenue losses for electric companies. Deep learning (DL), machine learning (ML), and statistical methods have been used in recent research studies to detect anomalies and illegal patterns in electricity consumption (EC) data collected by smart meters. In this paper, we propose a hybrid DL model for detecting theft activity in EC data. The model combines both a gated recurrent unit (GRU) and a convolutional neural network (CNN). The model distinguishes between legitimate and malicious EC patterns. GRU layers are used to extract temporal patterns, while the CNN is used to retrieve optimal abstract or latent patterns from EC data. Moreover, imbalance of data classes negatively affects the consistency of ML and DL. In this paper, an adaptive synthetic (ADASYN) method and TomekLinks are used to deal with the imbalance of data classes. In addition, the performance of the hybrid model is evaluated using a real-time EC dataset from the State Grid Corporation of China (SGCC). The proposed algorithm is computationally expensive, but on the other hand, it provides higher accuracy than the other algorithms used for comparison. With more and more computational resources available nowadays, researchers are focusing on algorithms that provide better efficiency in the face of widespread data. Various performance metrics such as F1-score, precision, recall, accuracy, and false positive rate are used to investigate the effectiveness of the hybrid DL model. The proposed model outperforms its counterparts with 0.985 Precision–Recall Area Under Curve (PR-AUC) and 0.987 Receiver Operating Characteristic Area Under Curve (ROC-AUC) for the data of EC.