We analyze large deviations of time-averaged quantities in stochastic processes with long-range memory, where the dynamics at time t depends itself on the value q_{t} of the time-averaged quantity. First we consider the elephant random walk and a Gaussian variant of this model, identifying two mechanisms for unusual fluctuation behavior, which differ from the Markovian case. In particular, the memory can lead to large-deviation principles with reduced speeds and to nonanalytic rate functions. We then explain how the mechanisms operating in these two models are generic for memory-dependent dynamics and show other examples including a non-Markovian simple exclusion process.