'Precision Psychiatry' as the psychiatric variant of 'Precision Medicine' aims to provide high-level diagnosis and treatment based on robust biomarkers and tailored to the individual clinical, neurobiological, and genetic constitution of the patient. The specific peculiarity of psychiatry, in which disease entities are normatively defined based on clinical experience and are also significantly influenced by contemporary history, society and philosophy, has so far made the search for valid and reliable psychobiological connections difficult. Nevertheless, considerable progress has now been made in all areas of psychiatric research, made possible above all by the critical review and renewal of previous concepts of disease and psychopathology, the increased orientation towards neurobiology and genetics, and in particular the use of machine learning methods. Notably, modern machine learning methods make it possible to integrate high-dimensional and multimodal data sets and generate models which provide new psychobiological insights and offer the possibility of individualized, biomarker-driven single-subject prediction of diagnosis, therapy response and prognosis. The aim of the present review is therefore to introduce the concept of 'Precision Psychiatry' to the interested reader, to concisely present modern, machine learning methods required for this, and to clearly present the current state and future of biomarker-based 'precision psychiatry'.