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We present results of data-driven predictive analyses of sea ice over the main Arctic regions. Our approach relies on the Multilayer Stochastic Modeling (MSM) framework of Kondrashov, Chekroun and Ghil [Physica D, 2015] and it leads to probabilistic prognostic models of sea ice concentration (SIC) anomalies on seasonal time scales. This approach is applied to monthly time series of state-of-the-art data-adaptive decompositions of SIC and selected climate variables over the Arctic. We evaluate the predictive skill of MSM models by performing retrospective forecasts with “no-look ahead” for up to 6-months ahead. It will be shown in particular that the memory effects included intrinsically in the formulation of our non-Markovian MSM models allow for improvements of the prediction skill of large-amplitude SIC anomalies in certain Arctic regions on the one hand, and of September Sea Ice Extent, on the other. Further improvements allowed by the MSM framework will adopt a nonlinear formulation and explore next-generation data-adaptive decompositions.