Neural networks have demonstrated significant potential in solving partial differential equations (PDEs). While global approaches such as Physics-Informed Neural Networks (PINNs) offer promising capabilities, they often lack inherent temporal causality, which can limit their accuracy and stability for time-dependent problems. In contrast, local training frameworks that progressively update network parameters over time are naturally suited for evolving PDEs. However, a critical challenge remains: many physical systems possess intrinsic invariants -- such as energy or mass -- that must be preserved to ensure physically meaningful solutions. This paper addresses this challenge by enhancing the Time-Evolving Natural Gradient (TENG) method, a recently proposed local training framework. We introduce two complementary techniques: (i) a relaxation algorithm that ensures the target solution $u_{\text{target}}$ preserves both quadratic and general nonlinear invariants of the original system, providing a structure-preserving learning target; and (ii) a projection technique that maps the updated network parameters $\theta(t)$ back onto the invariant manifold, ensuring the final neural network solution strictly adheres to the conservation laws. Numerical experiments on the inviscid Burgers equation, Korteweg-de Vries equation, and acoustic wave equation demonstrate that our proposed approach significantly improves conservation properties while maintaining high accuracy.