Switched model predictive control (S-MPC) and recurrent neural networks with long short-term memory (RNN-LSTM) are powerful control methods that have been extensively studied for the energy management of microgrids (MGs). These methods ease constraint satisfaction, computational demands, adaptability, and comprehensibility, but typically one method is chosen over the other. The S-MPC method dynamically selects optimal models and control strategies based on the system’s operating mode and performance objectives. On the other hand, integration of auto-regressive (AR) control with these powerful control methods improves the prediction accuracy and the adaptability of the system conditions. This paper compares the two control approaches and proposes a novel algorithm called switched auto-regressive neural control (S-ANC) that combines their respective strengths. Using a control formulation equivalent to S-MPC and the same controller model for learning, the results indicate that pure RNN-LSTM cannot provide constraint satisfaction. The novel S-ANC algorithm can satisfy constraints and deliver comparable performance to MPC, while enabling continuous learning. The results indicate that S-MPC optimization increases power flows within the MG, resulting in efficient utilization of energy resources. By merging the AR and LSTM, the model’s computational time decreased by nearly 47.2%. In addition, this study evaluated our predictive model’s accuracy: (i) the R-squared error was 0.951, indicating a strong predictive ability, and (ii) mean absolute error (MAE) and mean square error (MSE) values of 0.571 indicate accurate predictions, with minimal deviations from the actual values.