We introduce higher order spreading models associated to a Banach space X. Their definition is based on ℱ-sequences ${\left(x_s\right)}_{s\in ℱ}$ with ℱ a regular thin family and on plegma families. We show that the higher order spreading models of a Banach space X form an increasing transfinite hierarchy ${\left({ℳ}_{\xi }\left(X\right)\right)}_{\xi <\omega ₁}$. Each ${ℳ}_{\xi }\left(X\right)$ contains all spreading models generated by ℱ-sequences ${\left(x_s\right)}_{s\in ℱ}$ with order of ℱ equal to ξ. We also study the fundamental properties of this hierarchy.