Recent developments in mobile technology, sensor devices, and artificial intelligence have created new opportunities for mental health care research. Enabled by large datasets collected in e-mental health research and practice, clinical researchers and members of the data mining community increasingly join forces to build predictive models for health monitoring, treatment selection, and treatment personalization. This paper aims to bridge the historical and conceptual gaps between the distant research domains involved in this new collaborative research by providing a conceptual model of common research goals. We first provide a brief overview of the data mining field and methods used for predictive modeling. Next, we propose to characterize predictive modeling research in mental health care on three dimensions: 1) time, relative to treatment (i.e., from screening to post-treatment relapse monitoring), 2) types of available data (e.g., questionnaire data, ecological momentary assessments, smartphone sensor data), and 3) type of clinical decision (i.e., whether data are used for screening purposes, treatment selection or treatment personalization). Building on these three dimensions, we introduce a framework that identifies four model types that can be used to classify existing and future research and applications. To illustrate this, we use the framework to classify and discuss published predictive modeling mental health research. Finally, in the discussion, we reflect on the next steps that are required to drive forward this promising new interdisciplinary field.