Wi-Fi based localization has become one of the most practical methods for mobile users in location-based services. However, due to the interference of multipath and high-dimensional sparseness of fingerprint data, the localization system based on received signal strength (RSS) is hard to obtain high accuracy. In this paper, we propose a novel indoor positioning method, named JLGBMLoc (Joint denoising auto-encoder with LightGBM Localization). Firstly, because the noise and outliers may influence the dimensionality reduction on high-dimensional sparseness fingerprint data, we propose a novel feature extraction algorithm, named joint denoising auto-encoder (JDAE), which reconstructs the sparseness fingerprint data for a better feature representation and restores the fingerprint data. Then, the LightGBM is introduced to the Wi-Fi localization by scattering the processed fingerprint data to histogram, and dividing the decision tree under leaf-wise algorithm with depth limitation. At last, we evaluated the proposed JLGBMLoc on UJIIndoorLoc dataset and Tampere dataset, experimental results show that the proposed model increases the positioning accuracy dramatically comparing with other existing methods.