This paper presents two new approaches for constructing an ensemble of neural networks (NN) using coevolution and the artificial immune system (AIS). These approaches are extensions of the CLONal Selection Algorithm for building ENSembles (CLONENS) algorithm. An explicit diversity promotion technique was added to CLONENS and a novel coevolutionary approach to build neural ensembles is introduced, whereby two populations representing the gates and the individual NN are coevolved. The former population is responsible for defining the ensemble size and selecting the members of the ensemble. This population is evolved using the differential evolution algorithm. The latter population supplies the best individuals for building the ensemble, which is evolved by AIS. Results show that it is possible to automatically define the ensemble size being also possible to find smaller ensembles with good generalization performance on the tested benchmark regression problems. More interestingly, the use of the diversity measure during the evolutionary process did not necessarily improve generalization. In this case, diverse ensembles may be found using only implicit diversity promotion techniques.