There are often nonlinear and time‐varying characteristics in industrial processes. These characteristics cause difficulty in measuring product quality online. To address these issues, a weighted target feature regression neural network (WTFAER) was proposed for soft sensor modelling in this paper. The Pearson correlation coefficient was calculated to assign corresponding weights to process variables and design a weighted objective function. A target feature regression network (TFAER) was constructed using target correlation autoencoder with fully connected layer. After that, the weighted reconstructed information was applied to the TFAER model to extract deep quality‐related features and realize feature reuse. A deep network was formed by layered stacking to fully exploit the deep features for quality prediction. To make the proposed method domain adaptive, a maximum mean squared deviation (MMD) based regularization term was introduced in the loss function. Through the simulation experiments of debutanizer column and industrial polyethylene process, and compared with stacked autoencoder (SAE), variable‐wise weighted stacked autoencoder (VW‐SAE) and stacked target‐related autoencoder (STAE) methods, the effectiveness and generalization performance of the proposed modelling method were verified.