Techniques for implementing unsupervised anomaly detection by self-prediction are provided. In one set of embodiments, a computer system can receive an unlabeled training data set comprising a plurality of unlabeled data instances, where each unlabeled data instance includes values for a plurality of features. The computer system can further train, for each feature in the plurality of features, a supervised machine learning (ML) model using a labeled training data set derived from the unlabeled training data set, receive a query data instance, and generate a self-prediction vector using at least a portion of the trained supervised ML models and the query data instance, where the self-prediction vector indicates what the query data instance should look like if it were normal. The computer system can then generate an anomaly score for the query data instance based on the self-prediction vector and the query data instance.