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Accurate solar radiation forecasting is essential to operate power systems safely under high shares of photovoltaic generation. This paper compares the performance of several machine learning algorithms for solar radiation forecasting using endogenous and exogenous inputs and proposes an ensemble feature selection method to choose not only the most related input parameters but also their past observations values. The machine learning algorithms used are: Support Vector Regression (SVR), Extreme Gradient Boosting (XGBT), Categorical Boosting (CatBoost) and Voting-Average (VOA), which integrates SVR, XGBT and CatBoost. The proposed ensemble feature selection is based on Pearson coefficient, random forest, mutual information and relief. Prediction accuracy is evaluated based on several metrics using a real database from Salvador, Brazil. Different prediction time-horizons are considered: 1 h, 2 h and 3 h ahead. Numerical results demonstrate that the proposed ensemble feature selection approach improves forecasting accuracy and that VOA performs better than the other algorithms in all prediction time horizons. [ABSTRACT FROM AUTHOR]