Machine and deep learning methods, today's core of artificial intelligence, have been applied with increasing success and impact in many commercial and research settings. They are powerful tools for large scale data analysis, prediction and classification, especially in very data-rich environments ("big data"), and have started to find their way into medical applications. Here we will first give an overview of machine learning methods, with a focus on deep and recurrent neural networks, their relation to statistics, and the core principles behind them. We will then discuss and review directions along which (deep) neural networks can be, or already have been, applied in the context of psychiatry, and will try to delineate their future potential in this area. We will also comment on an emerging area that so far has been much less well explored: by embedding semantically interpretable computational models of brain dynamics or behavior into a statistical machine learning context, insights into dysfunction beyond mere prediction and classification may be gained. Especially this marriage of computational models with statistical inference may offer insights into neural and behavioral mechanisms that could open completely novel avenues for psychiatric treatment.