We address the construction and approximation for feed-forward neural networks (FNNs) with zonal functions on the unit sphere. The filtered de la Vallée-Poussin operator and the spherical quadrature formula are used to construct the spherical FNNs. In particular, the upper and lower bounds of approximation errors by the FNNs are estimated, where the best polynomial approximation of a spherical function is used as a measure of approximation error.