Mental disorders represent a public health challenge of staggering proportions. According to the most recent Global Burden of Disease study, psychiatric disorders constitute the leading cause of years lost to disability. The high morbidity and mortality related to these conditions are proportional to the potential for overall health gains if mental disorders can be more effectively diagnosed and treated. In order to fill these gaps, analysis in science, industry, and government seeks to use big data for a variety of problems, including clinical outcomes and diagnosis in psychiatry. Multiple mental healthcare providers and research laboratories are increasingly using large data sets to fulfill their mission. Briefly, big data is characterized by high volume, high velocity, variety and veracity of information, and to be useful it must be analyzed, interpreted, and acted upon. As such, focus has to shift to new analytical tools from the field of machine learning that will be critical for anyone practicing medicine, psychiatry and behavioral sciences in the 21st century.