Increasing interest in natural gas-fired gensets is motivated by District Heating (DH) network applications, especially in urban areas. Even if they represent customary solutions, when used in DH, duty regimes are driven by network thermal energy demands resulting in discontinuous operation, which affects their remaining useful life. As such, the attention on effective condition-based maintenance has gained momentum. In this paper, a novel unsupervised anomaly detection framework is proposed for gensets in DH networks based on Supervisory Control And Data Acquisition (SCADA) data. The framework relies on multivariate Machine-Learning (ML) regression models trained with a Leave-One-Out Cross-Validation method. Model residuals generated during the testing phase are then post-processed with a sliding threshold approach based on a rolling average. This methodology is tested against nine major failures that occurred on the gas genset installed in the Aosta DH plant in Italy. The results show that the proposed framework successfully detects anomalies and anticipates SCADA alarms related to unscheduled downtime.