Abstract Cepstral features have been widely used in audio applications. Domain knowledge has played an important role in designing different types of cepstral features proposed in the literature. In this paper, we present a novel approach for learning optimized cepstral features directly from audio data to better discriminate between different categories of signals in classification tasks. We employ multi-layer feedforward neural networks to model the cepstral feature extraction process. The network weights are initialized to replicate a reference cepstral feature like the mel frequency cepstral coefficient. We then propose a embedded approach that integrates feature learning with the training of a support vector machine (SVM) classifier. A single optimization problem is formulated where the feature and classifier variables are optimized simultaneously so as to refine the initial features and minimize the classification risk. Experimental results have demonstrated the effectiveness of the proposed feature learning approach, outperforming competing methods by a large margin on benchmark data.