In this study, nonlinear autoregressive exogenous (NARX) models of a heavy-duty single-shaft gas turbine (GT) are developed and validated. The GT is a power plant gas turbine (General Electric PG 9351FA) located in Italy. The data used for model development are three time series data sets of two different maneuvers taken experimentally during the start-up procedure. The resulting NARX models are applied to three other experimental data sets and comparisons are made among four significant outputs of the models and the corresponding measured data. The results show that NARX models are capable of satisfactory prediction of the GT behavior and can capture system dynamics during start-up operation.