Self-learning Monte Carlo method (SLMC) is a general-purpose numerical method that speeds up Monte Carlo simulations by training an effective model to propose uncorrelated configurations in the Markov chain. Its applications are, however, limited. This is because it is not obvious to find the explicit form of the effective Hamiltonians. Particularly, it is difficult to make effective Hamiltonians including many body interactions. In order to overcome this critical difficulty, we introduce the Behler-Parrinello neural networks (BPNNs) as ``effective Hamiltonian'' without any prior knowledge, which is used to construct the potential-energy surfaces in interacting many particle systems for molecular dynamics. We construct self-learning continuous-time interaction-expansion quantum Monte Carlo method with BPNNs and apply it to quantum impurity models. We observed significant improvement of the acceptance ratio from 0.01 (the effective Hamiltonian with the explicit form) to 0.76 (BPNN). This drastic improvement implies that the BPNN effective Hamiltonian includes many body interaction, which is omitted in the effective Hamiltonian with the explicit forms. The BPNNs make SLMC more promising.