Recently, multilabel classification algorithms play an increasingly significant role in data mining and machine learning. However, some existing mutual information-based algorithms ignore the influence of the proportions of labels on the correlation degree between features and label sets. Besides, the correlation degree of label sets cannot be accurately measured in most traditional ReliefF algorithms, and the repeated calculation arises from the division of heterogeneous neighbors. To overcome these shortcomings, this paper proposes a multilabel feature selection method using mutual information and improved multilabel ReliefF (ML-ReliefF). First, the proportion of each label is calculated in label space and combined with the mutual information of features and labels to construct a novel correlation degree between features and label sets to preprocess multilabel datasets, which is used to reduce runtime of ML-ReliefF. Second, the mutual information of label sets is introduced into improving accuracy of the correlation degree among label sets. Furthermore, two types of correlation degree for label sets based on ML-ReliefF are developed to divide similar and heterogeneous samples more clearly. Third, a divided method of heterogeneous neighbors is presented to effectively avoid the repeated calculation in ML-ReliefF, and a novel method of feature weighting based on ML-ReliefF is constructed to evaluate the importance of features. Finally, a multilabel feature selection algorithm based on mutual information and ML-ReliefF for multilabel classification is designed to improve the performance of multilabel classification. Experiments under fourteen multilabel datasets show the effectiveness of our algorithm and improve the classification performance for multilabel datasets.