BACKGROUND: Forecasting the responses of natural populations to environmental change is a key priority in the management of ecological systems. This is challenging because the dynamics of multi-species ecological communities are influenced by many factors. Populations can exhibit complex, nonlinear responses to environmental change, often over multiple temporal lags. In addition, biotic interactions, and other sources of multi-species dependence, are major contributors to patterns of population variation. Theory suggests that near-term ecological forecasts of population abundances can be improved by modelling these dependencies, but empirical support for this idea is lacking. METHODS: We test whether models that learn from multiple species, both to estimate nonlinear environmental effects and temporal interactions, improve ecological forecasts compared to simpler single species models for a semi-arid rodent community. Using dynamic generalized additive models, we analyze time series of monthly captures for nine rodent species over 25 years. RESULTS: Model comparisons provide strong evidence that multi-species dependencies improve both hindcast and forecast performance, as models that captured these effects gave superior predictions than models that ignored them. We show that changes in abundance for some species can have delayed, nonlinear effects on others, and that lagged, nonlinear effects of temperature and vegetation greenness are key drivers of changes in abundance for this system. CONCLUSIONS: Our findings highlight that multivariate models are useful not only to improve near-term ecological forecasts but also to ask targeted questions about ecological interactions and drivers of change. This study emphasizes the importance of jointly modelling species' shared responses to the environment and their delayed temporal interactions when teasing apart community dynamics.