This study presents a new approach for nonlinear multi-scale constitutive models using artificial neural networks (ANNs). Three ANN classes are proposed to characterize the nonlinear multi-axial stress-strain behavior of metallic, polymeric, and fiber reinforced polymeric (FRP) materials, respectively. Load-displacement responses from nanoindentation of metallic and polymeric materials are used to train new generation of dimensionless ANN models with different micro-structural properties as additional variables to the load-deflection. The proposed ANN models are effective in inverse-problems set to back-calculate in-situ material parameters from given overall nanoindentation test data with/without time-dependent material behavior. Towards that goal, nanoindentation tests have been performed for silicon (Si) substrate with/without a copper (Cu) film. Nanoindentation creep test data, available in the literature for Polycarbonate substrate, are used in these inverse problems. The predicted properties from the ANN models can also be used to calibrate classical constitutive parameters. The third class of ANN models is used to generate the effective multi-axial stress-strain behavior of FRP composites under plane-stress conditions. The training data are obtained from coupon tests performed in this study using off-axis tension/compression and pure shear tests for pultruded FRP E-glass/polyester composite systems. It is shown that the trained nonlinear ANN model can be directly coupled with finite-element (FE) formulation as a material model at the Gaussian integration points of each layered-shell element. This FE-ANN modeling approach is applied to simulate an FRP plate with an open-hole and compared with experimental results. Micromechanical nonlinear ANN models with damage formulation are also formulated and trained using simulated FE modeling of the periodic microstructure. These new multi-scale ANN constitutive models are effective and can be extended by including more material variables to capture complex material behavior, such as softening due to micro-structural damage or failure.