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The in-vehicle controller area network (CAN) bus is one of the essential components for autonomous vehicles, and its safety will be one of the greatest challenges in the field of intelligent vehicles in the future. In this paper, we propose a novel system that uses a deep neural network (DNN) to detect anomalous CAN bus messages. We treat anomaly detection as a cross-domain modelling problem, in which three CAN bus data packets as a group are directly imported into the DNN architecture for parallel training with shared weights. After that, three data packets are represented as three independent feature vectors, which corresponds to three different types of data sequences, namely anchor, positive and negative. The proposed DNN architecture is an embedded triplet loss network that optimizes the distance between the anchor example and the positive example, makes it smaller than the distance between the anchor example and the negative example, and realizes the similarity calculation of samples, which were originally used in face detection. Compared to traditional anomaly detection methods, the proposed method to learn the parameters with shared-weight could improve detection efficiency and detection accuracy. The whole detection system is composed of the front-end and the back-end, which correspond to deep network and triplet loss network, respectively, and are trainable in an end-to-end fashion. Experimental results demonstrate that the proposed technology can make real-time responses to anomalies and attacks to the CAN bus, and significantly improve the detection ratio. To the best of our knowledge, the proposed method is the first used for anomaly detection in the in-vehicle CAN bus.