In this paper, a general class of the delayed differential equation with a discontinuous right-hand side is considered. Under the extended Filippov differential inclusions framework, some new criteria are obtained to guarantee the existence of a periodic solution by employing Kakutani's fixed point theorem of set-valued maps and matrix theory. Then, we apply these criteria to the time-delayed neural networks with discontinuous neuron activations. Our analysis method and theoretical results are of great significance in the design of time-delayed neural network circuits with discontinuous neuron activation under a periodic environment.