Extreme events have the potential to significantly impact transportation infrastructure performance. For example, in the case of bridges, climate change impacts the river discharge, hence scouring patterns, which in turn, affects the bridge foundation stability. Therefore, extreme events (river flow) prediction is mandatory in bridge reliability analysis. This paper approaches this river flow prediction problem by developing a Markov-Switching Autoregressive model coupled with a conditional hidden seasonal Markov component. In addition, the proposed model is also combined with the deep machine learning neural networks method to forecast river flow from a dataset or from simulations. The proposed method is illustrated by using realistic data: historic river flow values of the Thames River. The results indicate that the proposed model well represented the extreme events within the dataset. In terms of river flow forecasting, the results indicate that the forecasts improve when the training period changes from 20 years to 40 years.