This study uses different feature selection methods in the field of business failure prediction and tests the capability of Genetic Programming (GP) as an appropriate classifier in this field. The prediction models categorize the insolvency/non-insolvency of a firm one year in advance from a large set of financial ratios. Different selection strategies based on two evolutionary algorithms were used to reduce the dimensionality of the financial features considered. The first method considers the combination between the global search provided by an evolutionary algorithm (differential evolution) with a simple classifier, together with the possible use of classical filters in a first step of feature selection. Secondly, genetic programming is used as a feature selector. In addition, these selection approaches will be compared when GP is used exclusively as a classifier. The results show that, when using GP as a classifier method, the proposed selection method with GP stands out from the rest. Moreover, the use of GP as a classifier improves the results with respect to other classifier methods. This shows an added value to the use of GP in this field, in addition to the interpretability of GP prediction models.