Feature selection is a crucial step in the conception of Machine Learning models, which is often performed via data-driven approaches that overlook the possibility of tapping into the human decision-making of the model’s designers and users. We present a human-in-the-loop framework that interacts with domain experts by collecting their feedback regarding the variables (of few samples) they evaluate as the most relevant for the task at hand. Such information can be mod-eled via Reinforcement Learning to derive a per-example feature selection method that tries to minimize the model’s loss function by focusing on the most pertinent variables from a human perspective. We report results on a proof-of-concept image classification dataset and on a real-world risk classification task in which the model successfully incorporated feedback from experts to improve its accuracy.