As an implementation tool of data intensive scientific research methods, machine learning (ML) can effectively shorten the research and development (R&D) cycle of new materials by half or even more. ML shows great potential in the combination with other scientific research technologies, especially in the processing and classification of large amounts of material data from theoretical calculation and experimental characterization. It is very important to systematically understand the research ideas of material informatics to accelerate the exploration of new materials. Here, we provide a comprehensive introduction to the most commonly used ML modeling methods in material informatics with classic cases. Then, we review the latest progresses of prediction models, which focus on new processing–structure–properties–performance (PSPP) relationships in some popular material systems, such as perovskites, catalysts, alloys, two‐dimensional materials, and polymers. In addition, we summarize the recent pioneering researches in innovation of material research technology, such as inverse design, ML interatomic potentials, and microtopography characterization assistance, as new research directions of material informatics. Finally, we comprehensively provide the most significant challenges and outlooks related to the future innovation and development in the field of material informatics. This review provides a critical and concise appraisal for the applications of material informatics, and a systematic and coherent guidance for material scientists to choose modeling methods based on required materials and technologies.