Kohn-Sham density functional theory has been the most popular method in electronic structure calculations. To fulfill the increasing accuracy requirements, new approximate functionals are needed to address key issues in existing approximations. It is well known that nonlocal components are crucial. Current nonlocal functionals mostly require orbital dependence such as in Hartree-Fock exchange and many-body perturbation correlation energy, which, however, leads to higher computational costs. Deviating from this pathway, we describe functional nonlocality in a new approach. By partitioning the total density to atom-centered local densities, a many-body expansion is proposed. This many-body expansion can be truncated at one-body contributions, if a base functional is used and an energy correction is approximated. The contribution from each atom-centered local density is a single finite-range nonlocal functional that is universal for all atoms. We then use machine learning to develop this universal atom-centered functional. Parameters in this functional are determined by fitting to data that are produced by high-level theories. Extensive tests on several different test sets, which include reaction energies, reaction barrier heights, and non-covalent interaction energies, show that the new functional, with only the density as the basic variable, can produce results comparable to the best-performing double-hybrid functionals, (for example, for the thermochemistry test set selected from the GMTKN55 database, BLYP based machine learning functional gives a weighted total mean absolute deviations of 3.33kcal/mol, while DSD-BLYP-D3(BJ) gives 3.28kcal/mol) with a lower computational cost. This opens a new pathway to nonlocal functional development and applications.