Structural reliability analysis under uncertainty is paid wide attention by engineers and scholars due to reflecting the structural characteristics and the bearing actual situation. The direct integration method, started from the definition of reliability theory, is easy to be understood, but there are still mathematics difficulties in the calculation of multiple integrals. Therefore, a dual neural network method is proposed for calculating multiple integrals in this paper. Dual neural network consists of two neural networks. The neural network A is used to learn the integrand function, and the neural network B is used to simulate the original function. According to the derivative relationships between the network output and the network input, the neural network B is derived from the neural network A. On this basis, the performance function of normalization is employed in the proposed method to overcome the difficulty of multiple integrations and to improve the accuracy for reliability calculations. The comparisons between the proposed method and Monte Carlo simulation method, Hasofer–Lind method, the mean value first-order second moment method have demonstrated that the proposed method is an efficient and accurate reliability method for structural reliability problems.