Learning graph representations is a fundamental task aimed at capturing various properties of graphs in vector space. The most recent methods learn such representations for static networks. However, real-world networks evolve over time and have varying dynamics. Capturing such evolution is key to predicting the properties of unseen networks. To understand how the network dynamics affect the prediction performance, we propose an embedding approach which learns the structure of evolution in dynamic graphs and can predict unseen links with higher precision. Our model, dyngraph2vec, learns the temporal transitions in the network using a deep architecture composed of dense and recurrent layers. We motivate the need for capturing dynamics for the prediction on a toy dataset created using stochastic block models. We then demonstrate the efficacy of dyngraph2vec over existing state-of-the-art methods on two real-world datasets. We observe that learning dynamics can improve the quality of embedding and yield better performance in link prediction.