Structural health monitoring (SHM) in an electric arc furnace is performed in several ways. It depends on the kind of element or variable to monitor. For instance, the lining of these furnaces is made of refractory materials that can be worn out over time. Therefore, monitoring the temperatures on the walls and the cooling elements of the furnace is essential for correct structural monitoring. In this work, a multivariate time series temperature prediction was performed through a deep learning approach. To take advantage of data from the last 5 years while not neglecting the initial parts of the sequence in the oldest years, an attention mechanism was used to model time series forecasting using deep learning. The attention mechanism was built on the foundation of the encoder–decoder approach in neural networks. Thus, with the use of an attention mechanism, the long-term dependency of the temperature predictions in a furnace was improved. A warm-up period in the training process of the neural network was implemented. The results of the attention-based mechanism were compared with the use of recurrent neural network architectures to deal with time series data, such as Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU). The results of the Average Root Mean Square Error (ARMSE) obtained with the attention-based mechanism were the lowest. Finally, a variable importance study was performed to identify the best variables to train the model.