Exoplanet detection by direct imaging is a difficult task: the faint signals from the objects of interest are buried under a spatially structured nuisance component induced by the host star. The exoplanet signals can only be identified when combining several observations with dedicated detection algorithms. In contrast to most of existing methods, we propose to learn a model of the spatial, temporal and spectral characteristics of the nuisance, directly from the observations. In a pre-processing step, a statistical model of their correlations is built locally, and the data are centered and whitened to improve both their stationarity and signal-to-noise ratio (SNR). A convolutional neural network (CNN) is then trained in a supervised fashion to detect the residual signature of synthetic sources in the preprocessed images. Our method leads to a better trade-off between precision and recall than standard approaches in the field. It also outperforms a state-of-the-art algorithm based solely on a statistical framework. Besides, the exploitation of the spectral diversity improves the performance compared to a similar model built solely from spatio-temporal data.