Deep neural networks have achieved state-of-the-art results in various vision and/or language tasks. Despite the use of large training datasets, most models are trained by iterating over single input-output pairs, discarding the remaining examples for the current prediction. In this work, we actively exploit the training data, using the information from nearest training examples to aid the prediction both during training and testing. Specifically, our approach uses the target of the most similar training example to initialize the memory state of an LSTM model, or to guide attention mechanisms. We apply this approach to image captioning and sentiment analysis, respectively through image and text retrieval. Results confirm the effectiveness of the proposed approach for the two tasks, on the widely used Flickr8 and IMDB datasets. Our code is publicly available at http://github.com/RitaRamo/retrieval-augmentation-nn.