Currently, localization has been one of the research hot spots in Wireless Sensors Networks (WSNs). However, most localization methods focus on the device-based localization, which locates targets with terminal devices. This is not suitable for the application scenarios like the elder monitoring, life detection, and so on. In this paper, we propose a device-free wireless localization system using Artificial Neural Networks (ANNs). The system consists of two phases. In the off-line training phase, Received Signal Strength (RSS) difference matrices between the RSS matrices collected when the monitoring area is vacant and with a professional in the area are calculated. Some RSS difference values in the RSS difference matrices are selected. The RSS difference values and corresponding matrix indices are taken as the inputs of an ANN model and the known location coordinates are its outputs. Then a nonlinear function between the inputs and outputs can be approximated through training the ANN model. In the on-line localization phase, when a target is in the monitoring area, the RSS difference values and their matrix indices can be obtained and input into the trained ANN model, and then the localization coordinates can be computed. We verify the proposed device-free localization system with a WSN platform. The experimental results show that our proposed device-free wireless localization system is able to achieve a comparable localization performance without any terminal device.