In the domain of sequence modelling, Recurrent Neural Networks (RNN) have been capable of achieving impressive results in a variety of application areas including visual question answering, part-of-speech tagging and machine translation. However this success in modelling short term dependencies has not successfully transitioned to application areas such as trajectory prediction, which require capturing both short term and long term relationships. In this paper, we propose a Tree Memory Network (TMN) for modelling long term and short term relationships in sequence-to-sequence mapping problems. The proposed network architecture is composed of an input module, controller and a memory module. In contrast to related literature, which models the memory as a sequence of historical states, we model the memory as a recursive tree structure. This structure more effectively captures temporal dependencies across both short term and long term sequences using its hierarchical structure. We demonstrate the effectiveness and flexibility of the proposed TMN in two practical problems, aircraft trajectory modelling and pedestrian trajectory modelling in a surveillance setting, and in both cases we outperform the current state-of-the-art. Furthermore, we perform an in depth analysis on the evolution of the memory module content over time and provide visual evidence on how the proposed TMN is able to map both long term and short term relationships efficiently via a hierarchical structure.