Several data-driven prediction methods based on multiple linear regression (MLR), neural network (NN), and recurrent neural network (RNN) for the indoor air quality in a subway station are developed and compared. The RNN model can predict the air pollutant concentrations at a platform of a subway station by adding the previous temporal information of the pollutants on yesterday to the model. To optimize the prediction model, the variable importance in the projection (VIP) of the partial least squares (PLS) is used to select key input variables as a preprocessing step. The prediction models are applied to a real indoor air quality dataset from telemonitoring systems data (TMS), which exhibits some nonlinear dynamic behaviors show that the selected key variables have strong influence on the prediction performances of the models. It demonstrates that the RNN model has the ability to model the nonlinear and dynamic system, and the predicted result of the RNN model gives better modeling performance and higher interpretability than other data-driven prediction models.