Cyber-physical control systems involve a discrete computational algorithm to control continuous physical systems. Often the control algorithm uses predictive models of the physical system in its decision making process. However, physical system models suffer from several inaccuracies when employed in practice. Mitigating such inaccuracies is often difficult and have to be repeated for different instances of the physical system. In this paper, we propose a model guided deep learning method for extraction of accurate prediction models of physical systems, in presence of artifacts observed in real life deployments. Given an initial potentially suboptimal mathematical prediction model, our model guided deep learning method iteratively improves the model through a data driven training approach. We apply the proposed approach on the closed loop blood glucose control system. Using this proposed approach, we achieve an improvement over predictive Bergman Minimal Model by a factor of around 100.