Extended object tracking methods based on random matrices, founded on Bayesian filters, have been able to achieve efficient recursive processes while jointly estimating the kinematic states and extension of the targets. Existing random matrix approaches typically assume that the evolution of state and extension follows a first-order Markov process, where the current estimate of the target depends solely on the previous moment. However, in real-world scenarios, this assumption fails because the evolution of states and extension is usually non-Markovian. In this paper, we introduce a novel extended object tracking method: a Bayesian recursive neural network assisted by deep memory. Initially, we propose an equivalent model under a non-Markovian assumption and derive the implementation of its Bayesian filtering framework. Thereafter, Gaussian approximation and moment matching are employed to derive the analytical solution for the proposed Bayesian filtering framework. Finally, based on the closed-form solution, we design an end-to-end trainable Bayesian recursive neural network for extended object tracking. Experiment results on simulated and real-world datasets show that the proposed methods outperforms traditional extended object tracking methods and state-of-the-art deep learning approaches.