This paper analyzes a Named Entity Recognition task for South-Slavic languages using the pre-trained multilingual neural network models. We investigate whether the performance of the models for a target language can be improved by using data from closely related languages. We have shown that the model performance is not influenced substantially when trained with other than a target language. While for Slovene, the monolingual setting generally performs better, for Croatian and Serbian the results are slightly better in selected cross-lingual settings, but the improvements are not large. The most significant performance improvement is shown for the Serbian language, which has the smallest corpora. Therefore, fine-tuning with other closely related languages may benefit only the “low resource” languages.