When INS/GNSS (inertial navigation system/global navigation satellite system) integrated system is applied, it will be affected by the insufficient number of visible satellites, and even the satellite signal will be lost completely. At this time, the positioning error of INS accumulates with time, and the navigation accuracy decreases rapidly. Therefore, in order to improve the performance of INS/GNSS integration during the satellite signals interruption, a novel learning algorithm for neural network has been presented and used for intelligence integrated system in this article. First of all, determine the input and output of neural network for intelligent integrated system and a nonlinear model for weighs updating during neural network learning has been established. Then, the neural network learning based on strong tracking and square root UKF (unscented Kalman filter) is proposed for iterations of the nonlinear model. In this algorithm, the square root of the state covariance matrix is used to replace the covariance matrix in the classical UKF to avoid the filter divergence caused by the negative definite state covariance matrix. Meanwhile, the strong tracking coefficient is introduced to adjust the filter gain in real-time and improve the tracking capability to mutation state. Finally, an improved calculation method of strong tracking coefficient is presented to reduce the computational complexity in this algorithm. The results of the simulation test and the field-positioning data show that the proposed learning algorithm could improve the calculation stability and robustness of neural network. Therefore, the error accumulation of INS/GNSS integration is effectively compensated, and then the positioning accuracy of INS/GNSS intelligence integrated system has been improved.