Controlling False Discovery Rate (FDR) while leveraging the side information of multiple hypothesis testing is an emerging research topic in modern data science. Existing methods rely on the test-level covariates while ignoring metrics about test-level covariates. This strategy may not be optimal for complex large-scale problems, where indirect relations often exist among test-level covariates and auxiliary metrics or covariates. We incorporate auxiliary covariates among test-level covariates in a deep Black-Box framework controlling FDR (named as NeurT-FDR) which boosts statistical power and controls FDR for multiple-hypothesis testing. Our method parametrizes the test-level covariates as a neural network and adjusts the auxiliary covariates through a regression framework, which enables flexible handling of high-dimensional features as well as efficient end-to-end optimization. We show that NeurT-FDR makes substantially more discoveries in three real datasets compared to competitive baselines.