Mining traffic-relevant information from social media data has become an emerging topic due to the real-time and ubiquitous features of social media. In this paper, we focus on a specific problem in social media mining which is to extract traffic relevant microblogs from Sina Weibo, a Chinese microblogging platform. It is transformed into a machine learning problem of short text classification. First, we apply the continuous bag-ofword model to learn word embedding representations based on a data set of three billion microblogs. Compared to the traditional one-hot vector representation of words, word embedding can capture semantic similarity between words and has been proved effective in natural language processing tasks. Next, we propose using convolutional neural networks (CNNs), long short-term memory (LSTM) models and their combination LSTM-CNN to extract traffic relevant microblogs with the learned word embeddings as inputs. We compare the proposed methods with competitive approaches, including the support vector machine (SVM) model based on a bag of n-gram features, the SVM model based on word vector features, and the multi-layer perceptron model based on word vector features. Experiments show the effectiveness of the proposed deep learning approaches.