The presence of marine ambient noise makes it difficult to extract effective features from ship-radiated noise. Traditional feature extraction methods based on the Fourier transform or wavelets are limited in such a complex ocean environment. Recently, entropy-based methods have been proven to have many advantages compared with traditional methods. In this paper, we propose a novel feature extraction method for ship-radiated noise based on hierarchical entropy (HE). Compared with the traditional entropy, namely multiscale sample entropy (MSE), which only considers information carried in the lower frequency components, HE takes into account both lower and higher frequency components of signals. We illustrate the different properties of HE and MSE by testing them on simulation signals. The results show that HE has better performance than MSE, especially when the difference in signals is mainly focused on higher frequency components. Furthermore, experiments on real-world data of five types of ship-radiated noise are conducted. A probabilistic neural network is employed to evaluate the performance of the obtained features. Results show that HE has a higher classification accuracy for the five types of ship-radiated noise compared with MSE. This indicates that the HE-based feature extraction method could be used to identify ships in the field of underwater acoustic signal processing.