Our emotional, psychological, and social well-being are all parts of our mental health, influencing our thoughts, emotions, and behaviors. Mental health also influences how we respond to stress, interact with others, and make good or bad decisions. There has been growing interest in the use of machine learning for the early detection of mental illness. This study reviews the machine learning models, algorithms, and applications for the early detection of mental disease, particularly emphasizing the data modalities. We further propose a comprehensive methodology for assessing mental health that synergistically combines social media monitoring, data analytics from wearable devices, verbal polls, and individualized support. We provide an overview of the field’s current state, highlight the potential benefits and challenges of using machine learning in mental health care, and a new taxonomy of mental disorders issues based on five domains of data types. We review existing research on using machine learning to detect and treat mental illness and discuss the implications for future research. Finally, the value of this work lies in its potential to provide a fast and accurate method for predicting the mental health status of a person, which may assist in the diagnosis and treatment of mental illness.