Recent years have witnessed tremendous growth in the application of machine learning (ML) and deep learning (DL) techniques in medical physics. Embracing the current big data era, medical physicists equipped with these state‐of‐the‐art tools should be able to solve pressing problems in modern radiation oncology. Here, a review of the basic aspects involved in ML/DL model building, including data processing, model training, and validation for medical physics applications is presented and discussed. Machine learning can be categorized based on the underlying task into supervised learning, unsupervised learning, or reinforcement learning; each of these categories has its own input/output dataset characteristics and aims to solve different classes of problems in medical physics ranging from automation of processes to predictive analytics. It is recognized that data size requirements may vary depending on the specific medical physics application and the nature of the algorithms applied. Data processing, which is a crucial step for model stability and precision, should be performed before training the model. Deep learning as a subset of ML is able to learn multilevel representations from raw input data, eliminating the necessity for hand crafted features in classical ML. It can be thought of as an extension of the classical linear models but with multilayer (deep) structures and nonlinear activation functions. The logic of going “deeper" is related to learning complex data structures and its realization has been aided by recent advancements in parallel computing architectures and the development of more robust optimization methods for efficient training of these algorithms. Model validation is an essential part of ML/DL model building. Without it, the model being developed cannot be easily trusted to generalize to unseen data. Whenever applying ML/DL, one should keep in mind, according to Amara’s law, that humans may tend to overestimate the ability of a technology in the short term and underestimate its capability in the long term. To establish ML/DL role into standard clinical workflow, models considering balance between accuracy and interpretability should be developed. Machine learning/DL algorithms have potential in numerous radiation oncology applications, including automatizing mundane procedures, improving efficiency and safety of auto‐contouring, treatment planning, quality assurance, motion management, and outcome predictions. Medical physicists have been at the frontiers of technology translation into medicine and they ought to be prepared to embrace the inevitable role of ML/DL in the practice of radiation oncology and lead its clinical implementation.