For modeling a dynamic system in practice, it often faces the difficulty in improving the accuracy of the constructed analytical model, since some components of the dynamic model are often ignored deliberately due to the difficulty of identification. It is also unwise to apply the neural network to approximate the entire dynamic system as a black box, when the comprehensive knowledge of most components of the dynamics of a large system are available. This paper proposes a method that utilizes the backpropagation (BP) neural network to identify the unknown components of the dynamic system based on the experimental front-end inputs–outputs data of the entire system. It can avoid the difficulty in getting the direct training data for the unknown components, and brings great benefits in the practical application, since to get the front-end inputs–outputs data of the entire dynamic system is easier and cost-effective. In order to train such neural network for the unknown components of dynamics, a modified Levenberg–Marquardt algorithm, which can utilize the front-end inputs–outputs data of the entire dynamic system, has been developed in the paper. Three examples from different application points of view are presented in the paper, and the results show that the proposed modified Levenberg–Marquardt algorithm is efficient to train the neural network for the unknown components of the system based on the data of entire system. The constructed dynamics model, in which the unknown components are substituted by the neural network, can satisfy the requisite accuracy successfully in the computation.