The Indian Ocean Dipole (IOD) is a mode of climate variability observed in the Indian Ocean sea surface temperature anomalies with one pole off Sumatra and the other pole near East Africa. An IOD event starts sometime in May-June, peaks in September-October and ends in November. Through atmospheric teleconnections, it affects the climate of many parts of the world, especially that of East Africa, Australia, India, Japan, and Europe. Owing to its large impacts, previous studies have addressed the predictability of the IOD using state of the art coupled climate models. Here, for the first-time, we predict the IOD using machine learning techniques, in particular artificial neural networks (ANNs). The IOD forecasts are generated for May to November from February-April conditions. The attributes for the ANNs are derived from sea surface temperature, 850 hPa and 200 hPa geopotential height anomalies, using a correlation analysis for the period 1949-2018. An ensemble of ANN forecasts is generated using 500 samples with replacement using jackknife approach. The ensemble mean of the IOD forecasts indicates the machine learning based ANN models to be capable of forecasting the IOD index well in advance with excellent skills. The forecast skills are much superior to the skills obtained from the persistence forecasts that one would guess from the observed data. The ANN models also perform far better than the models of the North American Multi-Model Ensemble (NMME) with higher correlation coefficients and lower root mean square errors (RMSE) for all the target months of May-November.