We study exponential stability for a kind of neural networks having time-varying delay. By extending the auxiliary function-based integral inequality, a novel integral inequality is derived by using weighted orthogonal functions of which one is discontinuous. Then, the new inequality is applied to investigate the exponential stability of time-delay neural networks via Lyapunov-Krasovskii functional (LKF) method. Numerical examples are given to verify the advantages of the proposed criterion.