Deep learning methods have played a more important role in hyperspectral image classification. However, general deep learning methods mainly take advantage of the samplewise information to formulate the training loss while ignoring the intrinsic data structure of each class. Due to the high spectral dimension and great redundancy between different spectral channels in the hyperspectral image, these former training losses usually cannot work so well for the deep representation of the image. To tackle this problem, this work develops a novel deep manifold embedding method (DMEM) for deep learning in hyperspectral image classification. First, each class in the image is modeled as a specific nonlinear manifold, and the geodesic distance is used to measure the correlation between the samples. Then, based on the hierarchical clustering, the manifold structure of the data can be captured and each nonlinear data manifold can be divided into several subclasses. Finally, considering the distribution of each subclass and the correlation between different subclasses under data manifold, DMEM is constructed as the novel training loss to incorporate the special classwise information in the training process and obtain discriminative representation for the hyperspectral image. Experiments over four real-world hyperspectral image datasets have demonstrated the effectiveness of the proposed method when compared with general sample-based losses and showed superiority when compared with state-of-the-art methods.