When a multi-agent system is subjected to faults, it is necessary to detect and classify the faults in time. This paper is motivated to propose a data-driven state prediction and sensor fault classification technique. Firstly, neural network-based state prediction model is trained through historical input and output data of the system. Then, the trained model is implemented to the real-time system to predict the system state and output in absence of fault. By comparing the predicted healthy output and the measured output, which can be abnormal in case of sensor faults, a residual signal can be generated. When a sensor fault occurs, the residual signal exceeds the threshold, a fault classification technique is triggered to distinguish fault types. Finally, the designed data-driven state prediction and fault classification algorithms are verified through a twin rotational inverted pendulum system with leader-follower mechanism.