In this paper, we have designed a two-state brain–computer interface (BCI) using neural network (NN) classification of autoregressive (AR) features from electroencephalogram (EEG) signals extracted during mental tasks. The main purpose of the study is to use Keirn and Aunon's data to investigate the performance of different mental task combinations and different AR features for BCI design for individual subjects. In the experimental study, EEG signals from five mental tasks were recorded from four subjects. Different combinations of two mental tasks were studied for each subject. Six different feature extraction methods were used to extract the features from the EEG signals: AR coefficients computed with Burg's algorithm, AR coefficients computed with a least-squares (LS) algorithm and adaptive autoregressive (AAR) coefficients computed with a least-mean-square (LMS) algorithm. All the methods used order six applied to 125 data points and these three methods were repeated with the same data but with segmentation into five segments in increments of 25 data points. The multilayer perceptron NN trained by the back-propagation algorithm (MLP-BP) and linear discriminant analysis (LDA) were used to classify the computed features into different categories that represent the mental tasks. We compared the classification performances among the six different feature extraction methods. The results showed that sixth-order AR coefficients with the LS algorithm without segmentation gave the best performance (93.10%) using MLP-BP and (97.00%) using LDA. The results also showed that the segmentation and AAR methods are not suitable for this set of EEG signals. We conclude that, for different subjects, the best mental task combinations are different and proper selection of mental tasks and feature extraction methods are essential for the BCI design.