In this paper, we present a neural network (InteractionNN) for sparse predictive analysis where hidden features of sparse data can be learned by multilevel feature interaction. To characterize multilevel interaction of features, InteractionNN consists of three modules, namely, nonlinear interaction pooling, layer-lossing, and embedding. Nonlinear interaction pooling (NI pooling) is a hierarchical structure and, by shortcut connection, constructs low-level feature interactions from basic dense features to elementary features. Layer-lossing is a feed-forward neural network where high-level feature interactions can be learned from low-level feature interactions via correlation of all layers with target. Moreover, embedding is to extract basic dense features from sparse features of data which can help in reducing our proposed model computational complex. Finally, our experiment evaluates on the two benchmark datasets and the experimental results show that InteractionNN performs better than most of state-of-the-art models in sparse regression.