Multi‐label feature selection eliminates irrelevant and redundant features, and then improves the performance of multi‐label classification models. Most multi‐label feature selection algorithms assume that the training set contains logical labels, which means that labels are equally important for instances. However, in practical applications, there are different importances with respect to labels. To solve the problem, a multi‐label feature selection method based on relative entropy and fuzzy neighborhood mutual discriminant index is proposed. Firstly, logical labels are converted to label distribution through label enhancement. Secondly, the neighborhood and relative entropy are introduced into the label distribution, the label neighborhood similarity matrix is constructed to describe the similarity of samples under label space. Finally, the fuzzy neighborhood mutual discrimination index is used to combine the candidate features with the label neighborhood similarity matrix, which is used to judge the distinguishing ability of the candidate features. Comprehensive experiment of eight multi‐label datasets shows that the proposed algorithm has better classification performance than other compared algorithms.