Head-related transfer function (HRTF) plays an important role in the construction of 3D auditory display. This article presents an individual HRTF modeling method using deep neural networks based on spatial principal component analysis. The HRTFs are represented by a small set of spatial principal components combined with frequency and individual-dependent weights. By estimating the spatial principal components using deep neural networks and mapping the corresponding weights to a quantity of anthropometric parameters, we predict individual HRTFs in arbitrary spatial directions. The objective and subjective experiments evaluate the HRTFs generated by the proposed method, the principal component analysis (PCA) method, and the generic method. The results show that the HRTFs generated by the proposed method and PCA method perform better than the generic method. For most frequencies the spectral distortion of the proposed method is significantly smaller than the PCA method in the high frequencies but significantly larger in the low frequencies. The evaluation of the localization model shows the PCA method is better than the proposed method. The subjective localization experiments show that the PCA and the proposed methods have similar performances in most conditions. Both the objective and subjective experiments show that the proposed method can predict HRTFs in arbitrary spatial directions.