In a competitive electricity market, price forecasts are important for market participants. However, electricity price is a complex signal due to its nonlinearity, nonstationarity, and time variant behavior. In spite of much research in this area, more accurate and robust price forecast methods are still required. In this paper, a combination of a feature selection technique and cascaded neuro-evolutionary algorithm (CNEA) is proposed for this purpose. The feature selection method is an improved version of the mutual information (MI) technique. The CNEA is composed of cascaded forecasters where each forecaster consists of a neural network (NN) and an evolutionary algorithm (EA). An iterative search procedure is also incorporated in our solution strategy to fine-tune the adjustable parameters of both the MI technique and CNEA. The price forecast accuracy of the proposed method is evaluated by means of real data from the Pennsylvania-New Jersey-Maryland (PJM) and Spanish electricity markets. The method is also compared with some of the most recent price forecast techniques.