This review article provides a deep insight into the Brain–Computer Interface (BCI) and the application of Machine Learning (ML) technology in BCIs. It investigates the various types of research undertaken in this realm and discusses the role played by ML in performing different BCI tasks. It also reviews the ML methods used for mental state detection, mental task categorization, emotion classification, electroencephalogram (EEG) signal classification, event-related potential (ERP) signal classification, motor imagery categorization, and limb movement classification. This work explores the various methods employed in BCI mechanisms for feature extraction, selection, and classification and provides a comparative study of reviewed methods. This paper assists the readers to gain information regarding the developments made in BCI and ML domains and future improvements needed for improving and designing better BCI applications.