Machine learning attempts to find underlying trends in data and offer predictions of outcomes. When machine learning is applied to materials science, in a discipline called materials informatics, the complex relationships between composition, structure, and properties can be unraveled even when the quantity of data is limited. To illustrate this application, the large class of materials known as Heusler compounds are modeled through machine learning, enabling new candidates to be predicted or existing compounds to be screened for potentially interesting properties. Data, algorithms, and preprocessing techniques are important components of a successful machine‐learning model. Efforts to predict structures and properties of Heusler compounds are reviewed, and other machine‐learning approaches to discover materials in general are discussed. Ultimately, a machine‐learning model is only valuable if its predictions are validated by experimental results. Thus, perspectives are offered to guide experimentalists on how machine learning can be useful for targeting new Heusler compounds.