Unmanned Aerial Vehicles (UAVs, also called drones) have been widely deployed in our living environments for a range of applications such as healthcare, agriculture, and logistics. Despite their unprecedented advantages, the increased number of UAVs and their growing threats demand high-performance management and emergency control strategies. To accurately detect a UAV’s working state including hovering and flying, data collection from Radio Frequency (RF) signals is a key step of these strategies and has thus attracted significant research interest. Deep neural networks (DNNs) have been applied for UAV state detection and shown promising potentials. While existing work mostly focuses on improving the DNN structures, we discover that RF signals’ pre-processing before sending them to the classification model is as important as improving the DNN structures. Experiments on a dataset show that, after applying proposed pre-processing methods, the 10-time average accuracy is improved from 46.8% to 91.9%, achieving nearly 50% gain comparing with the benchmark work using the same DNN structure. This work also outperforms the state-of-the-art CNN models, confirming the great potentials of data pre-processing for RF-based UAV state detection.