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The paper proposes to learn proposal distributions for sequential Monte Carlo (SMC) in nonlinear state-space models (SSMs). The method (NASMC) parameterizes the proposals as (recurrent) neural networks (RNNs) which are trained to fit the filtering distribution obtained with SMC. The approach is evaluated in three different setups: (a) state inference; (b) Bayesian learning (inference) of model parameters; (c) ML parameter learning with approximate (SMC) inference as inner loop. Results suggest that the the adaptive proposals outperform naive proposals (the prior) and also techniques such as the extended Kalman Particle filter and the Unscented Particle Filter (where the latter two are applicable). For ML learning of NN SSMs the approach performs similar to recently proposed stochastic variational approaches.