The application of identification techniques using artificial intelligence to the gas turbine (GT), whose nonlinear dynamic behavior is difficult to describe through differential equations and the laws of physics, has begun to gain importance for a little more than a decade. NARX (Nonlinear autoregressive network with exogenous inputs) is one of the models used to identify GT because it provides good results. However, existing studies need to show a systematic method to generate robust NARX models that can identify a GT with satisfactory accuracy. In this sense, a systematic method is proposed to design NARX models for identifying a GT, which consists of nine precise steps that go from identifying GT variables to obtaining the optimized NARX model. To validate the method, it was applied to a case study of a 215 MW SIEMENS TG, model SGT6-5000F, using a set of 2305 real-time series data records, obtaining a NARX model with an MSE of 1.945 × 10−5, RMSE of 0.4411% and a MAPE of 0.0643.