In this paper, a variant of gray wolf optimization (GWO) that uses reinforcement learning principles combined with neural networks to enhance the performance is proposed. The aim is to overcome, by reinforced learning, the common challenge of setting the right parameters for the algorithm. In GWO, a single parameter is used to control the exploration/exploitation rate, which influences the performance of the algorithm. Rather than using a global way to change this parameter for all the agents, we use reinforcement learning to set it on an individual basis. The adaptation of the exploration rate for each agent depends on the agent's own experience and the current terrain of the search space. In order to achieve this, experience repository is built based on the neural network to map a set of agents' states to a set of corresponding actions that specifically influence the exploration rate. The experience repository is updated by all the search agents to reflect experience and to enhance the future actions continuously. The resulted algorithm is called experienced GWO (EGWO) and its performance is assessed on solving feature selection problems and on finding optimal weights for neural networks algorithm. We use a set of performance indicators to evaluate the efficiency of the method. Results over various data sets demonstrate an advance of the EGWO over the original GWO and over other metaheuristics, such as genetic algorithms and particle swarm optimization.