The urine albumin–creatinine ratio (uACR) is a warning for the deterioration of renal function in type 2 diabetes (T2D). The early detection of ACR has become an important issue. Multiple linear regression (MLR) has traditionally been used to explore the relationships between risk factors and endpoints. Recently, machine learning (ML) methods have been widely applied in medicine. In the present study, four ML methods were used to predict the uACR in a T2D cohort. We hypothesized that (1) ML outperforms traditional MLR and (2) different ranks of the importance of the risk factors will be obtained. A total of 1147 patients with T2D were followed up for four years. MLR, classification and regression tree, random forest, stochastic gradient boosting, and eXtreme gradient boosting methods were used. Our findings show that the prediction errors of the ML methods are smaller than those of MLR, which indicates that ML is more accurate. The first six most important factors were baseline creatinine level, systolic and diastolic blood pressure, glycated hemoglobin, and fasting plasma glucose. In conclusion, ML might be more accurate in predicting uACR in a T2D cohort than the traditional MLR, and the baseline creatinine level is the most important predictor, which is followed by systolic and diastolic blood pressure, glycated hemoglobin, and fasting plasma glucose in Chinese patients with T2D.