Thermal load prediction is a key part of energy system management and control in buildings, and its accuracy plays a critical role to improve and maintain building energy performance and efficiency. To address this issue, various types of prediction model have been considered and studied, such as physics-based, statistical, and machine learning models. Physical models can be accurate but require extended lead time for model development. Statistical models are relatively simple to develop and require less computation time than other models, but they may not provide accurate results for complex energy systems with an intricate nonlinear dynamic behavior. This study proposes an Artificial Neural Network (ANN) model, one of the prevalent machine learning methods to predict building thermal load, combining with the concept of Non-linear Auto-Regression with Exogenous inputs (NARX). NARX-ANN prediction model is distinguished from typical ANN models due to the fact that the NARX concept can address nonlinear system behaviors effectively based on recurrent architectures and time indexing features. To examine the suitability and validity of NARX-ANN model for building thermal load prediction, a case study is carried out using field data of an academic campus building at Mississippi State University. Results show that the proposed NARX-ANN model can provide an accurate prediction performance and effectively address nonlinear system behaviors in the prediction.