Background Hierarchical Multi-Label Classification is a classification task where the classes to be predicted are hierarchically organized. Each instance can be assigned to classes belonging to more than one path in the hierarchy. This scenario is typically found in protein function prediction, considering that each protein may perform many functions, which can be further specialized into sub-functions. We present a new hierarchical multi-label classification method based on multiple neural networks for the task of protein function prediction. A set of neural networks are incrementally training, each being responsible for the prediction of the classes belonging to a given level. Results The method proposed here is an extension of our previous work. Here we use the neural network output of a level to complement the feature vectors used as input to train the neural network in the next level. We experimentally compare this novel method with several other reduction strategies, showing that it obtains the best predictive performance. Empirical results also show that the proposed method achieves better or comparable predictive performance when compared with state-of-the-art methods for hierarchical multi-label classification in the context of protein function prediction. Conclusions The experiments showed that using the output in one level as input to the next level contributed to better classification results. We believe the method was able to learn the relationships between the protein functions during training, and this information was useful for classification. We also identified in which functional classes our method performed better.