Using the neural network to classify the data which has higher dimension and fewer samples means overmuch feature inputs influence the structure design of neural network and fewer samples will generate incomplete or overfitting phenomenon during the neural network training. All of the above will restrict the recognition precision obviously. It is even better to use neural network to classify and, therefore, propose a neural network ensemble optimized classification algorithm based on PLS and OLS in this paper. The new algorithm takes some advantages of partial least squares (PLS) algorithm to reduce the feature dimension of small sample data, which obtains the low-dimensional and stronger illustrative data; using ordinary least squares (OLS) theory determines the weights of each neural network in ensemble learning system. Feature dimension reduction is applied to simplify the neural network’s structure and improve the operation efficiency; ensemble learning can compensate for the information loss caused by the dimension reduction; on the other hand, it improves the recognition precision of classification system. Finally, through the case analysis, the experiment results suggest that the operating efficiency and recognition precision of new algorithm are greatly improved, which is worthy of further promotion.