Photo privacy is a very important problem in the digital age where photos are commonly shared on social networking sites and mobile devices. The main challenge in photo privacy detection is how to generate discriminant features to accurately detect privacy at risk photos. Existing photo privacy detection works, which rely on low-level vision features, are non-informative to the users regarding what privacy information is leaked from their photos. In this paper, we propose a new framework called Privacy-CNH that utilizes hierarchical features which include both object and convolutional features in a deep learning model to detect privacy at risk photos. The generation of object features enables our model to better inform the users about the reason why a photo has privacy risk. The combination of convolutional and object features provide a richer model to understand photo privacy from different aspects, thus improving photo privacy detection accuracy. Experimental results demonstrate that the proposed model outperforms the state-of-the-art work and the standard convolutional neural network (CNN) with low-level features on photo privacy detection tasks.