Regression models and a neural net approach were used to predict the cutting performance during milling of Scots pine (Pinus sylvestris L.) by shank cutter. The influence of rake angle, spindle speed, and milling depth on surface roughness of the workpiece, as well as the connection between the milling force and the surface roughness, were thoroughly considered. Four approaches were used to predict the workpiece’s surface roughness based on the experimental data: Back Propagation Neural Network (BPNN), Radial Basis Function Neural Network (RBFNN), Support Vector Machines (SVM), and multiple linear regression. The comparative analysis of the predictive models showed that Neural Network (NN) had preferable performance for prediction of machined surface roughness, with an R2 of 0.98. The SVM had certain fluctuations and the R2 of the multiple linear regression was just 0.87, indicating that they did not fit well for prediction machined surface roughness. In summary, the effective trend of milling parameters on the machined surface roughness of Scots pine was similar to multiple nonlinear regression, and the accurate prediction by BPNN model can provide technical support for the surface roughness of the Scots Pine and enhance shank cutter performance.