This paper introduces an innovative approach, Deep Multiscale Soft-Threshold Support Vector Data Description (DMS-SVDD), designed for the detection of anomalies and prediction of faults in heavy-duty gas turbine generator sets (GENSETs). The model combines a support vector data description (SVDD) with a deep autoencoder backbone network framework, integrating a multiscale convolutional neural network (M) and soft-threshold activation network (S) into the Deep-SVDD framework. In comparison with conventional methods, such as One-Class Support Vector Machine (OCSVM) and autoencoder (AE), DMS-SVDD demonstrates improvements in accuracy (by 22.94%), recall (by 32%), F1 score (by 12.02%), and smoothness (by 39.15%). The model excels particularly in feature extraction, denoising, and early fault detection, offering a proactive strategy for maintenance. Furthermore, the DMS-SVDD demonstrated enhanced training efficiency with a reduction in the convergence rounds by 66% and overall training times by 34.13%. The study concludes that DMS-SVDD presents a robust and efficient solution for gas turbine anomaly detection, with practical advantages for decision support in turbine maintenance. Future research could explore additional refinements and applications of the DMS-SVDD model across diverse industrial contexts.