In this paper, we propose the improved feature least-mean-square (IF-LMS) algorithm to exploit hidden sparsity in unknown systems. Recently, the feature least-mean-square (F-LMS) algorithm has been introduced, but its application is limited to particular systems since it uses predetermined feature matrices. However, the proposed IF-LMS algorithm utilizes the stochastic gradient descent (SGD) method to learn feature matrices; thus, it can be used in any system that the classical LMS algorithm is applicable. Hence, by employing a learnable feature matrix, the IF-LMS algorithm has a vast application area as compared to the F-LMS algorithm. Moreover, mathematically, we discuss some parameters of the IF-LMS algorithm. Simulation results, in synthetic and real-life scenarios, demonstrate that the IF-LMS algorithm has superior filtering accuracy to the well-known LMS algorithm.