The development of simple, low-order and accurate unsteady aerodynamic models represents a crucial challenge for the design optimisation and control of fluid dynamical systems. In this work, wind tunnel experiments of a pitching NACA 0018 aerofoil conducted at a Reynolds number $Re = 2.8 \times 10^5$ and at different free-stream turbulence intensities are used to identify data-driven nonlinear state-space models relating the time-varying angle of attack of the aerofoil to the lift coefficient. The proposed state-space neural network (SS-NN) modelling technique explores an innovative methodology, which brings the flexibility of artificial neural networks into a classical state-space representation and offers new insights into the construction of reduced-order unsteady aerodynamic models. The work demonstrates that this technique provides accurate predictions of the nonlinear unsteady aerodynamic loads of a pitching aerofoil for a wide variety of angle-of-attack ranges and frequencies of oscillation. Results are compared with a modified version of the Goman–Khrabrov dynamic stall model. It is shown that the SS-NN methodology outperforms the classical semi-empirical dynamic stall models in terms of accuracy, while retaining a fast evaluation time. Additionally, the proposed models are robust to noisy measurements and do not require any pre-processing of the data, thus involving only a limited user interaction. Overall, these features make the SS-NN technique an excellent candidate for the construction of accurate data-driven models from experimental fluid dynamics data, and pave the way for their adoption in applications entailing design optimisation and real-time control of systems involving lift.