Intelligent forecasting of economic indexes has been an important demand for sustainable management of smart cities. Existing methods for this purpose were mostly established upon the basis of economic mechanism. Econometric models are the most general technical means in this area. However, in era of digital economy, increasing amount of big data has brought great change to traditional production. It is becoming more difficult for conventional technological forecasting methods to deal with multi-dimensional economic indexes. To deal with such challenge, this paper introduces the artificial intelligence algorithms to implement automatic information processing, and proposes a deep neural network-based intelligent forecasting method for multi-dimensional economic indexes in smart cities. Specifically, a deep neural network with three-layer structure is developed as the backbone methodology. For empirical analysis, the real-world data from “Chengdu–Chongqing Economic Circle” in China from 2012 to 2022 are selected as the main simulation scenario. Four major indexes are selected as the main research object: gross product (GDP), per capita GDP, GDP growth rate and the proportion of tertiary industry in GDP. The experimental results show that the proposal can well deal with such forecasting problem from a data-driven perspective, with a proper forecasting effect on historical data.