The recent increase of immunopeptidomics data, obtained by mass spectrometry or binding assays, opens up possibilities for investigating endogenous antigen presentation by the highly polymorphic human leukocyte antigen class I (HLA-I) protein. State-of-the-art methods predict with high accuracy presentation by HLA alleles that are well represented in databases at the time of release but have a poorer performance for rarer and less characterized alleles. Here, we introduce a method based on Restricted Boltzmann Machines (RBMs) for prediction of antigens presented on the Major Histocompatibility Complex (MHC) encoded by HLA genes—RBM-MHC. RBM-MHC can be trained on custom and newly available samples with no or a small amount of HLA annotations. RBM-MHC ensures improved predictions for rare alleles and matches state-of-the-art performance for well-characterized alleles while being less data demanding. RBM-MHC is shown to be a flexible and easily interpretable method that can be used as a predictor of cancer neoantigens and viral epitopes, as a tool for feature discovery, and to reconstruct peptide motifs presented on specific HLA molecules.