In this article, we propose the novel neural stochastic differential equations (SDEs) driven by noisy sequential observations called neural projection filter (NPF) under the continuous state-space models (SSMs) framework. The contributions of this work are both theoretical and algorithmic. On the one hand, we investigate the approximation capacity of the NPF, i.e., the universal approximation theorem for NPF. More explicitly, under some natural assumptions, we prove that the solution of the SDE driven by the semimartingale can be well approximated by the solution of the NPF. In particular, the explicit estimation bound is given. On the other hand, as an important application of this result, we develop a novel data-driven filter based on NPF. Also, under certain condition, we prove the algorithm convergence; i.e., the dynamics of NPF converges to the target dynamics. At last, we systematically compare the NPF with the existing filters. We verify the convergence theorem in linear case and experimentally demonstrate that the NPF outperforms existing filters in nonlinear case with robustness and efficiency. Furthermore, NPF could handle high-dimensional systems in real-time manner, even for the 100-D cubic sensor, while the state-of-the-art (SOTA) filter fails to do it.