We propose a new two-stage initial-value iterative neural network (IINN) algorithm for solitary wave computations of nonlinear wave equations based on traditional numerical iterative methods and physics-informed neural networks (PINNs). Specifically, the IINN framework consists of two subnetworks, one of which is used to fit a given initial value, and the other incorporates physical information and continues training on the basis of the first subnetwork. Importantly, the IINN method does not require any additional data information including boundary conditions, apart from the given initial value. Corresponding theoretical guarantees are provided to demonstrate the effectiveness of our IINN method. The proposed IINN method is efficiently applied to learn some types of solutions in different nonlinear wave equations, including the one-dimensional (1D) nonlinear Schrödinger equations (NLS) equation (with and without potentials), the 1D saturable NLS equation with PT-symmetric optical lattices, the 1D focusing-defocusing coupled NLS equations, the KdV equation, the two-dimensional (2D) NLS equation with potentials, the 2D amended GP equation with a potential, the (2+ 1)-dimensional KP equation, and the 3D NLS equation with a potential. These applications serve as evidence for the efficacy of our method. Finally, by comparing with the traditional methods, we demonstrate the advantages of the proposed IINN method.