The classification performance of passive sonar can be improved by extracting the features of ship-radiated noise. Traditional feature extraction methods neglect the nonlinear features in ship-radiated noise, such as entropy. The multiscale sample entropy (MSE) algorithm has been widely used for quantifying the entropy of a signal, but there are still some limitations. To remedy this, the hierarchical cosine similarity entropy (HCSE) is proposed in this paper. Firstly, the hierarchical decomposition is utilized to decompose a time series into some subsequences. Then, the sample entropy (SE) is modified by utilizing Shannon entropy rather than conditional entropy and employing angular distance instead of Chebyshev distance. Finally, the complexity of each subsequence is quantified by the modified SE. Simulation results show that the HCSE method overcomes some limitations in MSE. For example, undefined entropy is not likely to occur in HCSE, and it is more suitable for short time series. Compared with MSE, the experimental results illustrate that the classification accuracy of real ship-radiated noise is significantly improved from 75% to 95.63% by using HCSE. Consequently, the proposed HCSE can be applied in practical applications.