Prognostics and health management (PHM) is an emerging engineering discipline that diagnoses and predicts how and when a system will degrade its performance and lose its partial or whole functionality. Due to the complexity and invisibility of rules and states of most dynamic systems, developing an effective approach to track evolving system states becomes a major challenge. This paper presents a new self-cognizant dynamic system (SCDS) approach that incorporates artificial intelligence into dynamic system modeling for PHM. A feed-forward neural network (FFNN) is selected to approximate a complex system response which is challenging task in general due to inaccessible system physics. The trained FFNN model is then embedded into a dual extended Kalman filter algorithm to track down system dynamics. A recursive computation technique used to update the FFNN model using online measurements is also derived. To validate the proposed SCDS approach, a battery dynamic system is considered as an experimental application. After modeling the battery system by a FFNN model and a state-space model, the state-of-charge (SoC) and state-of-health (SoH) are estimated by updating the FFNN model using the proposed approach. Experimental results suggest that the proposed approach improves the efficiency and accuracy for battery health management.