A novel method based on Least Squares Support Vector Machine (LSSVM) is proposed to extract the Fetal Electrocardiogram (FECG) signal from the abdominal composite signal of the pregnant woman. The Maternal Electrocardiogram (MECG) component in the abdominal composite signal is a nonlinear transformation of the MECG signal and the nonlinear transformation is identified by LSSVM with limited samples. An optimal estimation of the MECG component in the abdominal composite signal is obtained by the MECG undergoing the nonlinear transformation. The FECG is extracted by removing the optimal estimation of the MECG component from the abdominal composite signal. The baseline shift and noise in the extracted FECG are suppressed by Empirical Mode Decomposition (EMD). The experimental results show that the clear FECG can be extracted even under the condition of the fetal QRS wave being entirely overlapped with the maternal QRS wave in the abdominal composite signal. The experimental results verify the effectiveness of proposed method.