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Accurate whole-brain segmentation, or brain extraction, of magnetic resonance imaging (MRI) is a critical first step in most neuroimage analysis pipelines. The majority of brain extraction algorithms have been developed and evaluated for adult data and their validity for neonatal brain extraction, which presents age-specific challenges for this task, has not been established. We developed a novel method for brain extraction of multi-modal neonatal brain MR images, named ALFA (Accurate Learning with Few Atlases). The method uses a new sparsity-based atlas selection strategy that requires a very limited number of atlases ‘uniformly’ distributed in the low-dimensional data space, combined with a machine learning based label fusion technique. The performance of the method for brain extraction from multi-modal data of 50 newborns is evaluated and compared with results obtained using eleven publicly available brain extraction methods. ALFA outperformed the eleven compared methods providing robust and accurate brain extraction results across different modalities. As ALFA can learn from partially labelled datasets, it can be used to segment large-scale datasets efficiently. ALFA could also be applied to other imaging modalities and other stages across the life course.