Systems experiencing high-rate dynamic events, termed high-rate systems, typically undergo accelerations of amplitudes higher than 100 g-force in less than 10 ms. Examples include adaptive airbag deployment systems, hypersonic vehicles, and active blast mitigation systems. Given their critical functions, accurate and fast modeling tools are necessary for ensuring the target performance. However, the unique characteristics of these systems, which consist of (1) large uncertainties in the external loads, (2) high levels of non-stationarities and heavy disturbances, and (3) unmodeled dynamics generated from changes in system configurations, in combination with the fast-changing environments, limit the applicability of physical modeling tools. In this paper, a deep learning algorithm is used to model high-rate systems and predict their response measurements. It consists of an ensemble of short-sequence long short-term memory (LSTM) cells which are concurrently trained. To empower multi-step ahead predictions, a multi-rate sampler is designed to individually select the input space of each LSTM cell based on local dynamics extracted using the embedding theorem. The proposed algorithm is validated on experimental data obtained from a high-rate system. Results showed that the use of the multi-rate sampler yields better feature extraction from non-stationary time series compared with a more heuristic method, resulting in significant improvement in step ahead prediction accuracy and horizon. The lean and efficient architecture of the algorithm results in an average computing time of 25 μμs, which is below the maximum prediction horizon, therefore demonstrating the algorithm’s promise in real-time high-rate applications.