Internet of Things (IoT) realizes the interconnection of heterogeneous devices by the technology of wireless and mobile communication. The data of target regions are collected by widely distributed sensing devices and transmitted to the processing center for aggregation and analysis as the basis of IoT. The quality of IoT services usually depends on the accuracy and integrity of data. However, due to the adverse environment or device defects, the collected data will be anomalous. Therefore, the effective method of anomaly detection is the crucial issue for guaranteeing service quality. Deep learning is one of the most concerned technology in recent years which realizes automatic feature extraction from raw data. In this article, the integrated model of the convolutional neural network (CNN) and recurrent autoencoder is proposed for anomaly detection. Simple combination of CNN and autoencoder cannot improve classification performance, especially, for time series. Therefore, we utilize the two-stage sliding window in data preprocessing to learn better representations. Based on the characteristics of the Yahoo Webscope S5 dataset, raw time series with anomalous points are extended to fixed-length sequences with normal or anomaly label via the first-stage sliding window. Then, each sequence is transformed into continuous time-dependent subsequences by another smaller sliding window. The preprocessing of the two-stage sliding window can be considered as low-level temporal feature extraction, and we empirically prove that the preprocessing of the two-stage sliding window will be useful for high-level feature extraction in the integrated model. After data preprocessing, spatial and temporal features are extracted in CNN and recurrent autoencoder for the classification in fully connected networks. Empiric results show that the proposed model has better performances on multiple classification metrics and achieves preferable effect on anomaly detection.