Recurrent neural network (RNN), a branch of deep learning, is a powerful model for sequential data that has outstanding performance on a wide range of important Internet of Things (IoT) tasks. This unprecedented growth of RNN model has however encountered both heterogeneous IoT data and privacy issues. Existing RNN model can not deal with heterogeneous sequential data; often the larger datasets used in training of RNN model contain sensitive information. To tackle these challenges and for the first time, this research proposes a novel differentially private tensor-based RNN (DPTRNN) that can be applied in many challenging deep learning sequence tasks for IoT systems. Specifically, to process heterogeneous sequential data, we propose a tensor-based RNN model. To guarantee privacy, we develop a tensor-based back-propagation through time algorithm with perturbation to avoid exposing the sensitive information for training the tensor-based RNN model within the framework of differential privacy. Thorough security analysis shows that the differential private tensor-based RNN efficiently protects the confidentiality of sensitive user information for IoT. Our results from extensive experiments on two challenging large video datasets suggest that our proposed scheme is practical with guarantee of data privacy preservation and acceptable accuracy loss.