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Although seismic industry has been investigating decades on solving the first break picking problems automatically, there are still enormous challenges during the investigation. Even till today, there are not solid solutions to avoid human labors to manually pick data by geophysicists. With the raise of deep learning and powerful hardware, many of those challenges can be overcome. In this work, we propose a deep semi-supervised neural network to achieve automatic picking for the first break in seismic data. The network is designed to perform with both unlabeled data and a limited amount of real data with labels. Initial feature representation is learning in a discriminative unsupervised manner on real datasets without labels. Since no assumptions are made with regard to the difference of underlying distributions between the synthetic and real data, our model has more marginal gain to compensate for the distribution drifting compare to the supervised learning models. In addition, the network is capable of updating itself through continuous learning. The system is able to identify labeling anomalies onsite and update the model through active learning. In simulation, we show our proposed deep semi-supervised neural network can achieve high accuracy on first break picking. Comparing with the supervised neural networks, our proposed network shows the advantage on using both labeled and unlabeled data set to achieve higher accuracy.