The walking beam furnace (WBF) is one of the most prominent process plants often met in an alloy steel production factory and characterised by high non-linearity, strong coupling, time delay, large time-constant and time variation in its parameter set and structure. From another viewpoint, the WBF is a distributed-parameter process in which the distribution of temperature is not uniform. Hence, this process plant has complicated non-linear dynamic equations that have not worked out yet. In this paper, we propose one-step non-linear predictive model for a real WBF using non-linear black-box sub-system identification based on locally linear neuro-fuzzy (LLNF) model. Furthermore, a multi-step predictive model with a precise long prediction horizon (i.e., ninety seconds ahead), developed with application of the sequential one-step predictive models, is also presented for the first time. The locally linear model tree (LOLIMOT) which is a progressive tree-based algorithm trains these models. Comparing the performance of the one-step LLNF predictive models with their associated models obtained through least squares error (LSE) solution proves that all operating zones of the WBF are of non-linear sub-systems. The recorded data from Iran Alloy Steel factory is utilised for identification and evaluation of the proposed neuro-fuzzy predictive models of the WBF process.