Large language models (LLMs) have shown promise in constructing mechanistic models from data. However, existing evaluations largely focus on simplified settings and fail to capture the complexity of real-world scientific modeling. In practice, such modeling often involves neural-integrated formulations, where a mechanistic model component and a neural network component are jointly constructed, leading to a significantly more complex search space. Motivated by this gap, we introduce the Neural-Integrated Mechanistic Modeling (NIMM) benchmark, which evaluates LLM-generated neural-integrated mechanistic models across three scientific domains. Experiments on NIMM reveal that existing LLM-based approaches struggle to effectively explore this complex space, resulting in limited search stability and solution quality. To address this challenge, we propose NIMMGen, a tree-guided agentic framework that enables diversified exploration via branch-level search and improves solutions through atomic model refinement. Extensive experiments demonstrate that NIMMGen achieves state-of-the-art performance on NIMM, significantly improving search stability and solution quality.