This paper proposes a pre‐processing method for heart sound screening and extracts the high‐order spectral feature of phonocardiogram. Moreover, a multi‐convolutional neural network (mCNN) is constructed to achieve the classification of normal, aortic stenosis, mitral regurgitation, mitral stenosis, and mitral valve prolapse. First, the heart sound recordings are down‐sampled, denoised by wavelet transform, and normalized. Second, a new heart sound screening algorithm is proposed. The waveform of the heart sound recording is segmented and saved as an image which is performed by the gray‐scale processing to calculate the amplitude of the heart sound. The extremely noisy heart sound segments are screened out based on the amplitude information, and the remaining heart sound segments are spliced as pure heart sound recordings. After 50% superposition segmentation of the heart sound recordings, high‐order spectral features are extracted and image data are stored. Finally, a 34‐layer mCNN is specifically designed to boost the performance of heart sound classification through multi‐layer dimensionality reduction. Experimental results show that the proposed method has superior performance compared with the existing one. For the two‐category dataset, the accuracy with and without PCG screening is 97.99% and 99.42%, respectively. For the five‐category dataset, the average accuracy is 99%.