Link prediction with knowledge graphs has been thoroughly studied in graph machine learning, leading to a rich landscape of graph neural network architectures with successful applications. Nonetheless, it remains challenging to transfer the success of these architectures to link prediction with relational hypergraphs. The presence of relational hyperedges makes link prediction a task between $k$ nodes for varying choices of $k$, which is substantially harder than link prediction with knowledge graphs, where every relation is binary ($k=2$). In this paper, we propose two frameworks for link prediction with relational hypergraphs and conduct a thorough analysis of the expressive power of the resulting model architectures via corresponding relational Weisfeiler-Leman algorithms, and also via some natural logical formalisms. Through extensive empirical analysis, we validate the power of the proposed model architectures on various relational hypergraph benchmarks. The resulting model architectures substantially outperform every baseline for inductive link prediction, and lead to state-of-the-art results for transductive link prediction. Our study therefore unlocks applications of graph neural networks to fully relational structures.