In this paper, we devise a highly efficient machine learning-based channel estimation for orthogonal frequency division multiplexing (OFDM) systems, in which the training of the estimator is performed online. A simple learning module is employed for the proposed learning-based estimator. The training process is thus much faster and the required training data is reduced significantly. Besides, a training data construction approach utilizing least square (LS) estimation results is proposed so that the training data can be collected during the data transmission. The feasibility of this novel construction approach is verified by theoretical analysis and simulations. Based on this construction approach, two alternative training data generation schemes are proposed. One scheme transmits additional block pilot symbols to create training data, while the other scheme adopts a decision-directed method and does not require extra pilot overhead. Simulation results show the robustness of the proposed channel estimation method. Furthermore, the proposed method shows better adaptation to practical imperfections compared with the conventional minimum mean-square error (MMSE) channel estimation. It outperforms the existing machine learning-based channel estimation techniques under varying channel conditions.