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This paper applies a neural-network-based approximate dynamic programming method, namely, the direct heuristic dynamic programming (direct HDP), to a large power system stability control problem. The direct HDP is a learning- and approximation-based approach to addressing nonlinear coordinated control under uncertainty. One of the major design parameters, the controller learning objective function, is formulated to directly account for network-wide low-frequency oscillation with the presence of nonlinearity, uncertainty, and coupling effect among system components. Results include a novel learning control structure based on the direct HDP with applications to two power system problems. The first case involves static var compensator supplementary damping control, which is used to provide a comprehensive evaluation of the learning control performance. The second case aims at addressing a difficult complex system challenge by providing a new solution to a large interconnected power network oscillation damping control problem that frequently occurs in the China Southern Power Grid.