Current transformer (CT) saturation is one of the significant problems for protection engineers. If CT saturation is not tackled properly, it can cause a disastrous effect on the stability of the power system, and may even create a complete blackout. To cope with CT saturation properly, an accurate detection or classification should be preceded. Recently, deep learning (DL) methods have brought a subversive revolution in the field of artificial intelligence (AI). This paper presents a new DL classification method based on unsupervised feature extraction and supervised fine-tuning strategy to classify the saturated and unsaturated regions in case of CT saturation. In other words, if protection system is subjected to a CT saturation, proposed method will correctly classify the different levels of saturation with a high accuracy. Traditional AI methods are mostly based on supervised learning and rely heavily on human crafted features. This paper contributes to an unsupervised feature extraction, using autoencoders and deep neural networks (DNNs) to extract features automatically without prior knowledge of optimal features. To validate the effectiveness of proposed method, a variety of simulation tests are conducted, and classification results are analyzed using standard classification metrics. Simulation results confirm that proposed method classifies the different levels of CT saturation with a remarkable accuracy and has unique feature extraction capabilities. Lastly, we provided a potential future research direction to conclude this paper.