Because the structure of the classical mathematical model of rolling load is simple, even with the self-adapting technology, it is difficult to accommodate the increasing dimensional accuracy. Motivated by this fact, an Innovations Feedback Neural Networks (IFNN) was presented based on the idea of Kalman prediction. The neural networks used the Back Propagation (BP) algorithm and applied it to the prediction of rolling load in hot strip mill. The theoretical results and the off-line simulation show that the prediction capability of IFNN is better than that of normal BP networks, namely, for the prediction of the rolling load in hot strip mill, the prediction precision of IFNN is higher than that of normal BP networks. Finally, a relative complete rolling load prediction system was developed on Windows 2003/XP platform using the OOP programming method and the SQL server2000 database. With this system, the rolling load of a 1700 strip mill was calculated, and the prediction results obtained correspond well with the field data. It shows that IFNN is valid for rolling load prediction.