This paper presents a new approach for modelling nonlinear dynamic processes (NDP). It is based on a nonlinear autoregressive with exogenous (NARX) inputs model structure and a deep convolutional fuzzy system (DCFS). The DCFS is a hierarchical fuzzy structure, which can overcome the deficiency of general fuzzy systems when facing high dimensional data. For relieving the curse of dimensionality, as well as improving approximation performance of fuzzy models, we propose combining the NARX with the DCFS to provide a good approximation of the complex nonlinear dynamic behavior and a fast-training algorithm with ensured convergence. There are three NARX DCFS structures proposed, and the appropriate training algorithm is adapted. Evaluations were performed on a popular benchmark—Box and Jenkin’s gas furnace data set and the four nonlinear dynamic test systems. The experiments show that the proposed NARX DCFS method can be successfully used to identify nonlinear dynamic systems based on external dynamics structures and nonlinear static approximators.