Discrete structures are currently second-class in differentiable programming. Since functions over discrete structures lack overt derivatives, differentiable programs do not differentiate through them and limit where they can be used. For example, when programming a neural network, conditionals and iteration cannot be used everywhere; they can break the derivatives necessary for gradient-based learning to work. This limits the class of differentiable algorithms we can directly express, imposing restraints on how we build neural networks and differentiable programs more generally. However, these restraints are not fundamental. Recent work shows conditionals can be first-class, by compiling them into differentiable form as linear neurons. Similarly, this work shows iteration can be first-class—by compiling to linear recurrent neurons. We present a minimal typed, higher-order and linear programming language with iteration called Cajal(N). We prove its programs compile correctly to recurrent neurons, allowing discrete algorithms to be expressed in a differentiable form compatible with gradient-based learning. With our implementation, we conduct two experiments where we link these recurrent neurons against a neural network solving an iterative image transformation task. This determines part of its function prior to learning. As a result, the network learns faster and with greater data-efficiency relative to a neural network programmed without first-class iteration. A key lesson is that recurrent neurons enable a rich interplay between learning and the discrete structures of ordinary programming.