Multi-Stage Classifier (MSC) - several classifiers working sequentially in an arranged order and classification decision is partially made at each step - is widely used in industrial applications for various resource limitation reasons. The classifiers of a multi-stage process are usually Neural Network (NN) models trained independently or in their inference order without considering the signals from the latter stages. Aimed at two-stage binary classification process, the most common type of MSC, we propose a novel training framework, named Feedback Training. The classifiers are trained in an order reverse to their actual working order, and the classifier at the later stage is used to guide the training of initial-stage classifier via a sample weighting method. We experimentally show the efficacy of our proposed approach, and its great superiority under the scenario of few-shot training.