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Abstract The Coronavirus Disease 2019 (COVID-19) has had a profound impact on global health and economy, making it crucial to build accurate and interpretable data-driven predictive models for COVID-19 cases to improve public policy making. The extremely large scale of the pandemic and the intrinsically changing transmission characteristics pose a great challenge for effectively predicting COVID-19 cases. To address this challenge, we propose a novel hybrid model in which the interpretability of the Autoregressive model (AR) and the predictive power of the long short-term memory neural networks (LSTM) join forces. The proposed hybrid model is formalized as a neural network with an architecture that connects two composing model blocks, of which the relative contribution is decided data-adaptively in the training procedure. We demonstrate the favorable performance of the hybrid model over its two single composing models as well as other popular predictive models through comprehensive numerical studies on two data sources under multiple evaluation metrics. Specifically, in county-level data of 8 California counties, our hybrid model achieves 4.173% MAPE, outperforming the composing AR (5.629%) and LSTM (4.934%) alone on average. In country-level datasets, our hybrid model outperforms the widely-used predictive models such as AR, LSTM, Support Vector Machines, Gradient Boosting, and Random Forest, in predicting the COVID-19 cases in Japan, Canada, Brazil, Argentina, Singapore, Italy, and the United Kingdom. In addition to the predictive performance, we illustrate the interpretability of our proposed hybrid model using the estimated AR component, which is a key feature that is not shared by most black-box predictive models for COVID-19 cases. Our study provides a new and promising direction for building effective and interpretable data-driven models for COVID-19 cases, which could have significant implications for public health policy making and control of the current COVID-19 and potential future pandemics.