Venue categories used in location-based social networks often exhibit a hierarchical structure, together with the category sequences derived from users’ check-ins. The two data modalities provide a wealth of information for us to capture the semantic relationships between those categories. To understand the venue semantics, existing methods usually embed venue categories into low-dimensional spaces by modeling the linear context (i.e., the positional neighbors of the given category) in check-in sequences. However, the hierarchical structure of venue categories, which inherently encodes the relationships between categories, is largely untapped. In this article, we propose a venue C ategory E mbedding M odel named Hier-CEM , which generates a latent representation for each venue category by embedding the Hier archical structure of categories and utilizing multiple types of context. Specifically, we investigate two kinds of hierarchical context based on any given venue category hierarchy and show how to model them together with the linear context collaboratively. We apply Hier-CEM to three tasks on two real check-in datasets collected from Foursquare. Experimental results show that Hier-CEM is better at capturing both semantic and sequential information inherent in venues than state-of-the-art embedding methods.