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Anomaly detection in smart grid is critical to enhance the reliability of power systems. Excessive manpower has to be involved in analyzing the measurement data collected from intelligent motoring devices while performance of anomaly detection is still not satisfactory. This is mainly because the inherent spatio-temporality and multi-dimensionality of the measurement data cannot be easily captured. In this paper, we propose an anomaly detection model based on encoder-decoder framework with recurrent neural network (RNN). In the model, an input time series is reconstructed and an anomaly can be detected by an unexpected high reconstruction error. Both Manhattan distance and the edit distance are used to evaluate the difference between an input time series and its reconstructed one. Finally, we validate the proposed model by using power demand data from University of California, Riverside (UCR) time series classification archive and IEEE 39 bus system simulation data. Results from the analysis demonstrate that the proposed encoder-decoder framework is able to successfully capture anomalies with a precision higher than 95%.