Various real-world applications can be formulated as feature selection problems, which have been known to be NP-hard. In this paper, we propose an effective feature selection method based on firefly algorithm (FFA), called return-cost-based binary FFA (Rc-BBFA). The proposed method has the capability of preventing premature convergence and is particularly efficient attributed to the following three aspects. An indicator based on the return-cost is first defined to measure a firefly’s attractiveness from other fireflies. Then, a Pareto dominance-based strategy is presented to seek the attractive one for each firefly. Finally, a binary movement operator based on the return-cost attractiveness and the adaptive jump is developed to update the position of a firefly. The experimental results on a series of public datasets show that the proposed method is competitive in comparison with other feature selection algorithms, including the traditional algorithms, the GA-based algorithm, the PSO-based algorithm, and the FFA-based algorithms.