Conventional expert systems has been criticized due to its lack of capability to adapt to the changing decision-making environments. In literature, many methods have been proposed to make expert systems more environment-adaptive by incorporating fuzzy logic and neural networks. The objective of this paper is to propose a new approach to building a self-evolving expert system inference mechanism by integrating fuzzy neural network and fuzzy rule extraction technique. The main recipe of our proposed approach is to fuzzify the training data, train them by a fuzzy neural network, extract a set of fuzzy rules from the trained network, organize a knowledge base, and refine the fuzzy rules by applying a pruning algorithm when the decision-making environments are detected to be changed significantly. To prove the validity, we tested our proposed self-evolving expert systems inference mechanism by using the bankruptcy data, and compared its results with the conventional neural network. Non-parametric statistical analysis of the experimental results showed that our proposed approach is valid significantly.