Heating, ventilation, and air-conditioning systems (HVAC) have significant potential to support demand response programs within power grids. Model Predictive Control (MPC) is an effective technique for utilizing the flexibility of HVAC systems to achieve this support. In this study, to identify a proper prediction model in the MPC controller, four machine learning models (i.e., SVM, ANN, XGBoost, LightGBM) are compared in terms of prediction accuracy, prediction time, and training time. The impact of model prediction accuracy on the performance of MPC for HVAC demand response is also systematically studied. The research is carried out using a co-simulation test platform integrating TRNSYS and Python. Results show that the XGBoost model achieves the highest prediction accuracy. LightGBM model’s accuracy is marginally lower but requires significantly less time for both prediction and training. In this research, the proposed control strategy decreases the economic cost by 21.61% compared to the baseline case under traditional control, with the weighted indoor temperature rising by only 0.10 K. The result also suggests that it is worth exploring advanced prediction models to increase prediction accuracy, even within the high prediction accuracy range. Furthermore, implementing MPC control for demand response remains beneficial even when the model prediction accuracy is relatively low.