The use of coarse-grained (CG) models is a popular approach to study complex biomolecular systems. By reducing the number of degrees of freedom, a CG model can explore long time- and length-scales inaccessible to computational models at higher resolution. If a CG model is designed by formally integrating out some of the system's degrees of freedom, one expects multi-body interactions to emerge in the effective CG model's energy function. In practice, it has been shown that the inclusion of multi-body terms indeed improves the accuracy of a CG model. However, no general approach has been proposed to systematically construct a CG effective energy that includes arbitrary orders of multi-body terms. In this work, we propose a neural network based approach to address this point and construct a CG model as a multi-body expansion. By applying this approach to a small protein, we evaluate the relative importance of the different multi-body terms in the definition of an accurate model. We observe a slow convergence in the multi-body expansion, where up to five-body interactions are needed to reproduce the free energy of an atomistic model.