We address the training problem of the sparse Least Squares Support Vector Machines (SVM) using compressed sensing. The proposed algorithm regards the support vectors as a dictionary and selects the important ones that minimize the residual output error iteratively. A measurement matrix is also introduced to reduce the computational cost. The main advantage is that the proposed algorithm performs model training and support vector selection simultaneously. The performance of the proposed algorithm is tested with several benchmark classification problems in terms of number of selected support vectors and size of the measurement matrix. Simulation results show that the proposed algorithm performs competitively when compared to existing methods.