Background Asthma exacerbation is an acute or subacute episode of progressive worsening of asthma symptoms and can have a significant impact on patients’ quality of life. However, efficient methods that can help identify personalized risk factors and make early predictions are lacking. Objective This study aims to use advanced deep learning models to better predict the risk of asthma exacerbations and to explore potential risk factors involved in progressive asthma. Methods We proposed a novel time-sensitive, attentive neural network to predict asthma exacerbation using clinical variables from large electronic health records. The clinical variables were collected from the Cerner Health Facts database between 1992 and 2015, including 31,433 adult patients with asthma. Interpretations on both patient and cohort levels were investigated based on the model parameters. Results The proposed model obtained an area under the curve value of 0.7003 through a five-fold cross-validation, which outperformed the baseline methods. The results also demonstrated that the addition of elapsed time embeddings considerably improved the prediction performance. Further analysis observed diverse distributions of contributing factors across patients as well as some possible cohort-level risk factors, which could be found supporting evidence from peer-reviewed literature such as respiratory diseases and esophageal reflux. Conclusions The proposed neural network model performed better than previous methods for the prediction of asthma exacerbation. We believe that personalized risk scores and analyses of contributing factors can help clinicians better assess the individual’s level of disease progression and afford the opportunity to adjust treatment, prevent exacerbation, and improve outcomes.