The atomic‐scale response of inhomogeneous fluids at interfaces and surrounding solute particles plays a critical role in governing chemical, electrochemical, and biological processes. Classical molecular dynamics simulations have been applied extensively to simulate the response of fluids to inhomogeneities directly, but are limited by the accuracy of the underlying interatomic potentials. Here, we use neural network potentials (NNPs) trained to ab initio simulations to accurately predict the inhomogeneous responses of two distinct fluids: liquid water and molten NaCl. Although NNPs can be readily trained to model complex bulk systems across a range of state points, we show that to appropriately model a fluid's response at an interface, relevant inhomogeneous configurations must be included in the training data. In order to sufficiently sample appropriate configurations of such inhomogeneous fluids, we develop protocols based on molecular dynamics simulations in the presence of external potentials. We demonstrate that NNPs trained on inhomogeneous fluid configurations can more accurately predict several key properties of fluids—including the density response, surface tension and size‐dependent cavitation free energies—for liquid water and molten NaCl, compared to both empirical interatomic potentials and NNPs that are not trained on such inhomogeneous configurations. This work therefore provides a first demonstration and framework to extract the response of inhomogeneous fluids from first principles for classical density‐functional treatment of fluids free from empirical potentials. Simulation of inhomogeneous liquids under external potentials in solvation and classical density‐functional theory has been unable to capture ab‐initio level accuracy for many fluid types. Neural network potentials now allow for the possibility, but require care to design and characterization of their limitations. This article develops methods for training and testing neural network potentials under relevant conditions such as cavitation free energy and surface tension, while assessing their limitations through uncertainty analysis.