The LAMOST survey has provided 9 million spectra in its Data Release 5 (DR5) at R ∼ 1800. Extracting precise stellar labels is crucial for such a large sample. In this paper, we report the implementation of the Stellar LAbel Machine (SLAM), which is a data-driven method based on Support Vector Regression (SVR), a robust non-linear regression technique. Thanks to the capability to model highly non-linear problems with SVR, SLAM generally can derive stellar labels over a wide range of spectral types. This gives it a unique capability compared to other popular data-driven methods. To illustrate this capability, we test the performance of SLAM on stars ranging from T eff ∼ 4000 to ∼ 8000 K trained on LAMOST spectra and stellar labels. At g-band signal-to-noise ratio (SNR g ) higher than 100, the random uncertainties of T eff , log g and [Fe/H] are 50 K, 0.09 dex, and 0.07 dex, respectively. We then set up another SLAM model trained by APOGEE and LAMOST common stars to demonstrate its capability of dealing with high dimensional problems. The spectra are from LAMOST DR5 and the stellar labels of the training set are from APOGEE DR15, including T eff , log g, [M/H], [α/M], [C/M], and [N/M]. The cross-validated scatters at SNR g ∼ 100 are 49 K, 0.10 dex, 0.037 dex, 0.026 dex, 0.058 dex, and 0.106 dex for these parameters, respectively. This performance is at the same level as other up-to-date data-driven models. As a byproduct, we also provide the latest catalog of ∼ 1 million LAMOST DR5 K giant stars with SLAM-predicted stellar labels in this work.