Can we use a quantum computer to speed up classical machine learning in solving problems of practical significance? Here, we study this open question focusing on the quantum phase learning problem, an important task in many-body quantum physics. We prove that, under widely believed complexity theory assumptions, quantum phase learning problem cannot be efficiently solved by machine learning algorithms using classical resources and classical data. Whereas using quantum data, we theoretically prove the universality of quantum kernel Alphatron in efficiently predicting quantum phases, indicating quantum advantages in this learning problem. We numerically benchmark the algorithm for a variety of problems, including recognizing symmetry-protected topological phases and symmetry-broken phases. Our results highlight the capability of quantum machine learning in efficient prediction of quantum phases.