We investigate a nonconvex, nonsmooth optimization approach based on DC (Difference of Convex functions) programming and DCA (DC Algorithm) for the so-called DC fitting problem, which aims to fit a given set of data points by a DC function. The problem is tackled as minimizing the squared Euclidean norm fitting error. It is formulated as a DC program for which a standard DCA scheme is developed. Furthermore, a modified DCA scheme with successive DC decomposition is proposed. These standard/modified versions of DCA are applied for solving the continuous piecewise-linear fitting problem. Numerical experiments on many synthetic and real datasets with small-to-large sizes show the efficiency of our DCA-based approach in comparison with the existing approaches for constructing continuous piecewise-linear models.