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This paper reports a new knowledge-driven engineered feature learning approach in response to the Global AI Challenge for Building E&M Facilities held by the Electrical and Mechanical Service Department (EMSD) of the Hong Kong SAR. The results were awarded with a Grand Prize by the competition organizer. A dynamically engineered multi-modal feature learning (DEMMFL) method is proposed for predicting the cooling load of two office buildings. The DEMMFL model is estimated with the Lasso-ridge regression and compared with other well-known methods such as the Lasso. The novel approach applies control system knowledge to engineer useful features and explore load patterns for multi-mode modeling. Deep learning methods including LSTM, GRU, and AutoGluon are implemented for automated machine learning and tested in parallel to compare the performance of the proposed model with existing methods. The proposed model is demonstrated to predict long-term cooling load most accurately using engineered features from weather information only. • A new dynamic feature engineering method for office building cooling load prediction. • Slow and fast dynamic features engineered from available weather data only. • Control-knowledge based feature to learn on-hours dynamic responses. • Multi-modal approach with eight day-type features to learn occupancy loads. • Deep recurrent learning and AutoML methods compared to the proposed method. [ABSTRACT FROM AUTHOR]