Considering the applicability of unsupervised methods for user-side electricity theft detection, this paper studies how to solve the decoupling problem between feature extraction and anomaly detection. It proposes a user-side electricity theft detection method based on the deep auto encoder Gaussian mixture model (DAGMM). First, the electricity consumption data dimension with stationarity is obtained according to the augmented Dickey Fuller test. Then, potential characteristics of data are extracted by compressing the network. An estimation network and Gaussian mixture model are used to obtain sample energy. This reflects the degree of anomaly. Finally, network parameters are optimized jointly based on end-to-end learning to avoid model decoupling, and identify users whose sample energy exceeds the abnormal threshold as electricity thief. In this way theft of electricity can be detected. The experimental results show that the detection method based on DAGMM is less affected by the sample of electricity theft, and the extracted features can effectively reflect the user's electricity consumption law with higher detection accuracy. Compared with the existing methods, the detection rate, false detection rate, F1 measurement and AUC of the proposed method are significantly improved. This work is supported by the National Natural Science Foundation of China (No. 51777061).