In this chapter, we introduced the basic concepts of machine learning and the different types of algorithm. We explored different types of machine learning algorithms depending on the nature of the signal used for learning or the type of feedback adopted by the system. Then, typical activities in any automatic learning were covered: regression, classification, clustering, and dimensionality reduction. In addition, an introduction, some background information, and basic knowledge of Microsoft Azure Machine Learning Studio environment were covered. Finally, we explored a practical application to understand the amazing world of machine learning.