Coronary artery disease (CAD) is the leading global cause of mortality and has substantial heritability with a polygenic architecture. Recent approaches of risk prediction were based on polygenic risk scores (PRS) not taking possible nonlinear effects into account and restricted in that they focused on genetic loci associated with CAD, only. We benchmarked PRS, (penalized) logistic regression, naïve Bayes (NB), random forests (RF), support vector machines (SVM), and gradient boosting (GB) on a data set of 7,736 CAD cases and 6,774 controls from Germany to identify the algorithms for most accurate classification of CAD status. The final models were tested on an independent data set from Germany (527 CAD cases and 473 controls). We found PRS to be the best algorithm, yielding an area under the receiver operating curve (AUC) of 0.92 (95% CI [0.90, 0.95], 50,633 loci) in the German test data. NB and SVM (AUC ~ 0.81) performed better than RF and GB (AUC ~ 0.75). We conclude that using PRS to predict CAD is superior to machine learning methods.