Model predictive control (MPC) has proven useful in enabling safe and optimal motion planning for autonomous vehicles. In this paper, we investigate how to achieve MPC-based motion planning when a neural state-space model represents the vehicle dynamics. As the neural state-space model will lead to highly complex, nonlinear and nonconvex optimization landscapes, mainstream gradient-based MPC methods will be computationally too heavy to be a viable solution. In a departure, we propose the idea of model predictive inferential control (MPIC), which seeks to infer the best control decisions from the control objectives and constraints. Following the idea, we convert the MPC problem for motion planning into a Bayesian state estimation problem. Then, we develop a new particle filtering/smoothing approach to perform the estimation. This approach is implemented as banks of unscented Kalman filters/smoothers and offers high sampling efficiency, fast computation, and estimation accuracy. We evaluate the MPIC approach through a simulation study of autonomous driving in different scenarios, along with an exhaustive comparison with gradient-based MPC. The results show that the MPIC approach has considerable computational efficiency, regardless of complex neural network architectures, and shows the capability to solve large-scale MPC problems for neural state-space models.