The emergence of deep learning has impacted numerous machine learning based applications and research. The reason for its success lies in two main advantages: 1) it provides the ability to learn very complex non-linear relationships between features and 2) it allows one to leverage information from unlabeled data that does not belong to the problem being handled. This paper presents a transfer learning procedure for cancer classification, which uses feature selection and normalization techniques in conjunction with s sparse auto-encoders on gene expression data. While classifying any two tumor types, data of other tumor types were used in unsupervised manner to improve the feature representation. The performance of our algorithm was tested on 36 two-class benchmark datasets from the GEMLeR repository. On performing statistical tests, it is clearly ascertained that our algorithm statistically outperforms several generally used cancer classification approaches. The deep learning based molecular disease classification can be used to guide decisions made on the diagnosis and treatment of diseases, and therefore may have important applications in precision medicine.