This article presents a machine learning‐based model predictive control (MPC) scheme for stabilization of hybrid dynamical systems, for which the evolution of states exhibits both continuous and discrete dynamics described by differential and difference equations, respectively. We first present the development of two recurrent neural networks (RNNs) for approximating continuous‐ and discrete‐time dynamics of hybrid dynamical systems, respectively, and then construct a unified hybrid RNN by integrating the two RNN models to capture both continuous and discrete dynamics. The hybrid RNN is used as the prediction model in Lyapunov‐based MPC (RNN‐LMPC), under which closed‐loop stability of hybrid dynamical systems is established. Finally, two case studies including a bouncing ball example and a chemical process are utilized to illustrate the open‐ and closed‐loop performance of the proposed RNN‐LMPC scheme.