The Internet of Things (IoT) contains a large amount of data, which attracts various types of network attacks that lead to privacy leaks. With the upgrading of network attacks and the increase in network security data, traditional machine learning methods are no longer suitable for network threat detection. At the same time, data analysis techniques and deep learning algorithms have developed rapidly and have been successfully applied to a variety of tasks for privacy protection. Convolutional neural networks (CNNs) are typical deep learning models that can learn and reconstruct features accurately and efficiently. Therefore, in this paper, we propose a group CNN models that is based on feature correlations to learn features and reconstruct security data. First, feature correlation coefficients are computed to measure the relationships among the features. Then, we sort the correlation coefficients in descending order and group the data by columns. Second, a 1D group CNN model with multiple 1D convolution kernels and 1D pooling filters is built to address the grouped data for feature learning and reconstruction. Third, the reconstructed features are input to shadow machine learning models for network threat prediction. The experimental results show that features reconstructed by the group CNN can reduce the dimensions and achieve the best performance compared to the other present dimension reduction algorithms. At the same time, the group CNN can decrease the floating point of operations (FLOP), parameters, and running time compared to the basic 1D CNN.