With the development of artificial intelligence technology, an increasing number of researchers try to apply different machine learning and deep learning methods to quantitative trading fields to obtain more stable and efficient trading models. As a typical quantitative trading strategy, stock selection has also attracted a lot of attention. There are many studies and applications on stock selection. However, the existing research and application cannot meet the continuous expansion of the scale and dimension of stock selection data set and cannot meet the needs in terms of efficiency and accuracy of stock selection. A convolutional neural network has been applied to image classification and achieved better results than the traditional methods. In this study, we first constructed a multifactor stock selection data set based on China's stock market. Then, we apply the convolutional neural network model to analyze stock selection data and select stocks. The main contribution of this study is that we build a stock multifactor data set, construct a “factor picture,” and classify them by convolutional neural network to select stocks. This study also makes comparative experiments on the decision tree, support vector machine, and feedforward neural network in stock selection on the same data set constructed in this study. The results show that the stock selection method based on the convolutional neural network outperforms other methods in terms of the annual return, sharp ratio, and max drawdown.