Several studies have indicated a significant potential in using Model Predictive Control (MPC) of space heating for demand response purposes. The performance of the MPC depends on the predictive performance of the embedded control model. The studies often employ black- or grey-box control models; however, no previous studies consider whether a black- or grey-box model is more robust against weather changes. To assess this, the simulation-based study reported in this paper analysed how the predictive performance of black- and grey-box models trained with different input–output datasets from a certain period of a year is affected when subject to weather conditions in other periods of the year. The predictive performance of the grey-box models was slightly better compared to the black-box model. Furthermore, the grey-box models were slightly more robust to changes in weather data. Future studies should investigate whether the differences have practical significance in relation to MPC.