We present a deep machine learning algorithm to extract crystal field (CF) Stevens parameters from thermodynamic data of rare-earth magnetic materials. The algorithm employs a two-dimensional convolutional neural network (CNN) that is trained on magnetization, magnetic susceptibility and specific heat data that is calculated theoretically within the single-ion approximation and further processed using a standard wavelet transformation. We apply the method to crystal fields of cubic, hexagonal and tetragonal symmetry and for both integer and half-integer total angular momentum values $J$ of the ground state multiplet. We evaluate its performance on both theoretically generated synthetic and previously published experimental data on CeAgSb$_2$, PrAgSb$_2$ and PrMg$_2$Cu$_9$, and find that it can reliably and accurately extract the CF parameters for all site symmetries and values of $J$ considered. This demonstrates that CNNs provide an unbiased approach to extracting CF parameters that avoids tedious multi-parameter fitting procedures.