Anomaly detection in CNC milling machine operation is a necessary component to develop a smart, autonomous CNC milling machine. These anomalies range from phenomena such as chatter, to tool breakage, to work piece misalignment. There have been many methods for detecting different anomalies, but many of these methods are focused on classifying one anomaly at a time. In this work, we propose an LSTM-Autoencoder based system to apply dimensionality reduction on accelerometer signals, and then apply Linear Support Vector Classifier (SVC) for multi-class classification and prediction.We extend this work to Autoencoders trained by transfer learning to reduce the data burden and validate both methods experimentally.