Many strategies have been exploited for the task of feature selection, in an effort to identify more compact and better quality feature subsets. The development of nature-inspired stochastic search techniques allows multiple good quality feature subsets to be discovered without resorting to exhaustive search. In particular, harmony search is a recently developed technique mimicking musicians’ experience, which has been effectively utilised to cope with feature selection problems. In this paper, a self-adjusting approach is proposed for feature selection with an aim to further enhance the performance of the existing harmony search-based method. This novel approach includes three dynamic strategies: restricted feature domain, harmony memory consolidation, and pitch adjustment. Systematic experimental evaluations using high dimensional, real-valued benchmark data sets are conducted in order to verify the efficacy of the proposed work.