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Genomic prediction, which is based on solving linear mixed‐model (LMM) equations, is the most popular method for predicting breeding values or phenotypic performance for economic traits in livestock. With the need to further improve the performance of genomic prediction, nonlinear methods have been considered as an alternative and promising approach. The excellent ability to predict phenotypes in animal husbandry has been demonstrated by machine learning (ML) approaches, which have been rapidly developed. To investigate the feasibility and reliability of implementing genomic prediction using nonlinear models, the performances of genomic predictions for pig productive traits using the linear genomic selection model and nonlinear machine learning models were compared. Then, to reduce the high‐dimensional features of genome sequence data, different machine learning algorithms, including the random forest (RF), support vector machine (SVM), extreme gradient boosting (XGBoost) and convolutional neural network (CNN) algorithms, were used to perform genomic feature selection as well as genomic prediction on reduced feature genome data. All of the analyses were processed on two real pig datasets: the published PIC pig dataset and a dataset comprising data from a national pig nucleus herd in Chifeng, North China. Overall, the accuracies of predicted phenotypic performance for traits T1, T2, T3 and T5 in the PIC dataset and average daily gain (ADG) in the Chifeng dataset were higher using the ML methods than the LMM method, while those for trait T4 in the PIC dataset and total number of piglets born (TNB) in the Chifeng dataset were slightly lower using the ML methods than the LMM method. Among all the different ML algorithms, SVM was the most appropriate for genomic prediction. For the genomic feature selection experiment, the most stable and most accurate results across different algorithms were achieved using XGBoost in combination with the SVM algorithm. Through feature selection, the number of genomic markers can be reduced to 1 in 20, while the predictive performance on some traits can even be improved compared to using the full genome data. Finally, we developed a new tool that can be used to execute combined XGBoost and SVM algorithms to realize genomic feature selection and phenotypic prediction. [ABSTRACT FROM AUTHOR]