Multi-model projections in climate studies are performed to quantify uncertainty and improve reliability in climate projections. The challenging issue is that there is no unique way to obtain performance metrics, nor is there any consensus about which method would be the best method of combining models. The goal of this study was to investigate whether combining climate model projections by artificial neural network (ANN) approach could improve climate projections and therefore reduce the range of uncertainty. The equally-weighted model averaging (the mean model) and single climate model projections (the best model) were also considered as references for the ANN combination approach. Simulations of present-day climate and future projections from 15 General Circulation Models (GCMs) for temperature and precipitation were employed. Results indicated that combining GCM projections by the ANN combination approach significantly improved the simulations of present-day temperature and precipitation than the best model and the mean model. The identity of the best model changed between the two variables and among stations. Therefore, there was not a unique model which could represent the best model for all variables and/or stations over the study region. The mean model was also not skillful in giving a reliable projection of historical climate. Simulation of temperature indicated that the ANN approach had the best skill at simulating present-day monthly means than other approaches in all stations. Simulation of present-day precipitation, however, indicated that the ANN approach was not the best approach in all stations although it performed better than the mean model. Multi-model projections of future climate conditions performed by the ANN approach projected an increase in temperature and reduction in precipitation in all stations and for all scenarios.