Deep learning has proven to be beneficial for complex tasks such as classifying images. However, this approach has been mostly applied to static datasets. The analysis of non-stationary (e.g., concept drift) streams of data involves specific issues connected with the temporal and changing nature of the data. In this paper, we propose a proof-of-concept method, called Adaptive Deep Belief Networks, of how deep learning can be generalized to learn online from changing streams of data. We do so by exploiting the generative properties of the model to incrementally re-train the Deep Belief Network whenever new data are collected. This approach eliminates the need to store past observations and, therefore, requires only constant memory consumption. Hence, our approach can be valuable for life-long learning from non-stationary data streams.