In this study, the effect of feature selection methods on the performance of multi-layer perceptrons used for the dynamic security assessment of electric power systems is investigated. The existence of many measurable parameters (features) characterizing the power system security status complicates the use of multi-layer perceptron both in terms of prediction accuracy and training time. In this paper, the dynamic security of a power system subject to a number of critical contingencies is assessed as the critical clearing time of any credible fault is predicted by a multi-layer perceptron. In addition to the study of two different feature selection methods, which are Minimum Redundancy Maximum Relevance (mRMR), and Regressional ReliefF (RReliefF), a novel multi-layer perceptron based feature selection method is proposed to be applied in the prediction of security indices. The performance of the feature selection methods on the dynamic security assessment is investigated on a 16-generator, 68-bus test system.