In this paper, the systematic derivations of setting up a nonlinear model predictive control based on the neural network are presented. This extends our previous work (Chen, 1998) into a multivariable system to explore the characteristics of the design. There are two stages for the development of nonlinear neural network predictive control: a neural network model and a control design. In the neural network model design, a parallel multiple-input, single-output neural network autoregressive with a model of exogenous inputs (NNARX) is proposed for multistep ahead predictions. In control design, the controller with extended control horizon is developed. The Levenberg-Marquardt algorithm is applied to training the NNARX model. Also, the sequential quadratic programming is used to search for the optimal manipulated inputs. The gradient of the objective function and constraints that require computation of Jacobian matrices are completely derived for optimization calculation. To demonstrate the control ability of MIMO cases, the proposed method is applied through two nonlinear simulation problems.