The northern Gulf of Mexico coast is affected by the North Atlantic hurricane season, which brings serious economic losses to the southern U.S. every year; therefore, it is necessary to make an accurate advance prediction of storm surge level. In this paper, a prediction model has been constructed based on Nonlinear Auto-Regressive Exogenous (NARX) Neural Network. Five types of data are selected as the input factors of the model. A neuron pruning strategy based on sensitivity analysis is introduced. Moreover, a modular prediction method is introduced based on the tide harmonic analysis so as to make the prediction results more accurate. At last, a complete storm surge level prediction model, Pruned Modular (PM)-NARX, is constructed. In this paper, the model is trained by using historical data and used for storm surge level prediction along the northern Gulf of Mexico coast in 2020. The simulation test results show that the correlation coefficient is stable above 0.99 at 12 h in advance within one minute. The prediction speed, accuracy, and stability are higher than those of conventional models. The above can prove that the PM-NARX can effectively provide early warning before the storm surge to avoid property damage and human casualties.