A new modeling methodology for gallium nitride (GaN) high‐electron‐mobility transistors (HEMTs) based on Bayesian inference theory, a core method of machine learning, is presented in this article. Gaussian distribution kernel functions are utilized for the Bayesian‐based modeling technique. A new small‐signal model of a GaN HEMT device is proposed based on combining a machine learning technique with a conventional equivalent circuit model topology. This new modeling approach takes advantage of machine learning methods while retaining the physical interpretation inherent in the equivalent circuit topology. The new small‐signal model is tested and validated in this article, and excellent agreement is obtained between the extracted model and the experimental data in the form of dc I–V curves and S‐parameters. This verification is carried out on an 8 × 125 μm GaN HEMT with a 0.25 μm gate feature size, over a wide range of operating conditions. The dc I–V curves from an artificial neural network (ANN) model are also provided and compared with the proposed new model, with the latter displaying a more accurate prediction benefiting, in particular, from the absence of overfitting that may be observed in the ANN‐derived I–V curves.