A study of the artificial neural network representation of quantum many-body states is presented. The locality and entanglement properties of states for shallow and deep quantum neural networks are investigated in detail. By introducing the notion of local quasi-product states, for which the locally connected shallow feed-forward neural network states and restricted Boltzmann machine states are special cases, we show that Rényi entanglement entropies of all these states obey the entanglement area law. Besides, we also investigate the entanglement features of deep Boltzmann machine states and show that locality constraints imposed on the neural networks make the states obey the entanglement area law. Finally, as an application, we apply the notion of Rényi entanglement entropy to understand the power of neural networks, and show that image classification problems can be efficiently solved must obey the area law.