The data-driven approach to psychiatric science leverages large volumes of patient data to construct machine learning models with the goal of optimizing clinical decision making. Advocates claim that this methodology is well-placed to deliver transformative improvements to psychiatric science. I argue that talk of a data-driven revolution in psychiatry is premature. Transformative improvements, cashed out in terms of better patient outcomes, cannot be achieved without addressing patient understanding. That is, how patients understand their own mental illnesses. I conceptualize understanding as the possession of adaptive mental constructs through which experience is mediated. I suggest that this notion of understanding serves as a bottleneck which any prospective approach to psychiatry must address to be efficacious. Subsequently I argue that, though the data-driven approach is undoubtedly powerful, it does not have a straightforward means of unblocking the bottleneck of understanding. I suggest that the data-driven approach must be supplemented with significant theoretical progress if it is to transform psychiatry.