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While embracing various machine learning techniques to make effective decisions in the big data era, preserving the privacy of sensitive data poses significant challenges. In this paper, we develop a privacy-preserving distributed machine learning algorithm to address this issue. Given the assumption that each data provider owns a dataset with different sample size, our goal is to learn a common classifier over the union of all the local datasets in a distributed way without leaking any sensitive information of the data samples. Such an algorithm needs to jointly consider efficient distributed learning and effective privacy preservation. In the proposed algorithm, we extend stochastic alternating direction method of multipliers (ADMM) in a distributed setting to do distributed learning. For preserving privacy during the iterative process, we combine differential privacy and stochastic ADMM together. In particular, we propose a novel stochastic ADMM based privacy-preserving distributed machine learning (PS-ADMM) algorithm by perturbing the updating gradients, that provide differential privacy guarantee and have a low computational cost. We theoretically demonstrate the convergence rate and utility bound of our proposed PS-ADMM under strongly convex objective. Through our experiments performed on real-world datasets, we show that PS-ADMM outperforms other differentially private ADMM algorithms under the same differential privacy guarantee.