Heterogeneous network (HetNet) has been proposed as a promising solution for handling the wireless traffic explosion in future fifth-generation (5G) system. In this paper, a joint subchannel and power allocation problem is formulated for HetNets to maximize the energy efficiency (EE). By decomposing the original problem into a classification subproblem and a regression subproblem, a convolutional neural network (CNN) based approach is developed to obtain the decisions on subchannel and power allocation with a much lower complexity than conventional iterative methods. Numerical results further demonstrate that the proposed CNN can achieve similar performance as the Exhaustive method, while needs only 6.76% of its CPU runtime.