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Neural state classification (NSC) is a recently proposed method for runtime predictive monitoring of hybrid automata (HA) using deep neural networks (DNNs). NSC trains a DNN as an approximate reachability predictor that labels an HA state x as positive if an unsafe state is reachable from x within a given time bound, and labels x as negative otherwise. NSC predictors have very high accuracy, yet are prone to prediction errors that can negatively impact reliability. To overcome this limitation, we present neural predictive monitoring (NPM), a technique that complements NSC predictions with estimates of the predictive uncertainty. These measures yield principled criteria for the rejection of predictions likely to be incorrect, without knowing the true reachability values. We also present an active learning method that significantly reduces the NSC predictor’s error rate and the percentage of rejected predictions. We develop two versions of NPM based, respectively, on the use of frequentist and Bayesian techniques to learn the predictor and the rejection rule. Both versions are highly efficient, with computation times on the order of milliseconds, and effective, managing in our experimental evaluation to successfully reject almost all incorrect predictions. In our experiments on a benchmark suite of six hybrid systems, we found that the frequentist approach consistently outperforms the Bayesian one. We also observed that the Bayesian approach is less practical, requiring a careful and problem-specific choice of hyperparameters.