The aim of this work was to predict the worldwide distribution of two pest species—Ceratitis capitata (Wiedemann), the Mediterranean fruit fly, and Lymantria dispar (L.), the gypsy moth—based on climatic factors. The distribution patterns of insect pests have most often been investigated using classical statistical models or ecoclimatic assessment models such as CLIMEX. In this study, we used an artificial neural network, the multilayer perceptron, trained using the backpropagation algorithm, to model the distribution of each species. The data matrix used to model the distribution of each species was divided into three data sets to 1) develop and train the model, 2) validate the model and prevent over-fitting, and 3) test each model on novel data. The percentage of correct predictions of the global distribution of each species was high for Mediterranean fruit fly for the three data sets giving 95.8, 81.5, and 80.6% correct predictions, respectively, and 96.8, 84.3, and 81.5 for the gypsy moth. Kappa statistics used to test the level of significance of the results were highly significant (in all cases P < 0.0001). A sensitivity analysis applied to each model based on the calculation of the derivatives of each of a large number of input variables showed that the variables that contributed most to explaining the distribution of C. capitata were annual average temperature and annual potential evapotranspiration. For L. dispar, the average minimum temperature and minimum daylength range were the main explanatory variables. The ANN models and methods developed in this study offer powerful additional predictive approaches in invasive species research.