Recent studies uncover that subcellular location of long non-coding RNAs (lncRNAs) can provide significant information on its function. Due to the lack of experimental data, the number of lncRNAs is very limited, experimentally verified subcellular localization, and the numbers of lncRNAs located in different organelle are wildly imbalanced. The prediction of subcellular location of lncRNAs is actually a multi-classification small sample imbalance problem. The imbalance of data results in the poor recognition effect of machine learning models on small data subsets, which is a puzzling and challenging problem in the existing research. In this study, we integrate multi-source features to construct a sequence-based computational tool, lncLocation, to predict the subcellular location of lncRNAs. Autoencoder is used to enhance part of the features, and the binomial distribution-based filtering method and recursive feature elimination (RFE) are used to filter some of the features. It improves the representation ability of data and reduces the problem of unbalanced multi-classification data. By comprehensive experiments on different feature combinations and machine learning models, we select the optimal features and classifier model scheme to construct a subcellular location prediction tool, lncLocation. LncLocation can obtain an 87.78% accuracy using 5-fold cross validation on the benchmark data, which is higher than the state-of-the-art tools, and the classification performance, especially for small class sets, is improved significantly.