As one of the most critical variables in the hot rolling process, the accuracy of rolling force prediction is directly associated with production stability and product quality. Purely data-driven approaches, however, are severely constrained by the quantity and quality of data, posing challenges for further enhancing the accuracy of rolling force prediction. In this paper, a theory fusion deep neural network (DNN) modelling approach was proposed and applied to the prediction of rolling force during hot plate rolling. In terms of model establishment, the novel NN structure was designed in consideration of the rolling mechanism, and senior variable inputs were added at shallow locations in the network to reduce the loss of critical information. In terms of model training, the method of using rolling theory to guide the initialization of the model was proposed to enable the model to learn the theoretical features more completely in the pre-training phase. Finally, a method to optimize the overall structure of the model using the sparrow search algorithm (SSA) was proposed to ensure the best prediction performance. The model was tested with the data in the developed platform, and the results indicated that the proposed method achieves the best accuracy and stability in this paper, and the response relationship between model inputs and output was consistent with existing theoretical knowledge. Thus, the model can be trusted and flexibly applied to the actual manufacturing processes.