In this paper, we propose an improved learning algorithm named self-adaptive evolutionary extreme learning machine (SaE-ELM) for single hidden layer feedforward networks (SLFNs). In SaE-ELM, the network hidden node parameters are optimized by the self-adaptive differential evolution algorithm, whose trial vector generation strategies and their associated control parameters are self-adapted in a strategy pool by learning from their previous experiences in generating promising solutions, and the network output weights are calculated using the Moore–Penrose generalized inverse. SaE-ELM outperforms the evolutionary extreme learning machine (E-ELM) and the different evolutionary Levenberg–Marquardt method in general as it could self-adaptively determine the suitable control parameters and generation strategies involved in DE. Simulations have shown that SaE-ELM not only performs better than E-ELM with several manually choosing generation strategies and control parameters but also obtains better generalization performances than several related methods.