The aim of this paper is investigate the feasibility of automatically training supervised methods, such as k-nearest neighbor (kNN) and principal component discriminant analysis (PCDA), and to segment the four subcortical brain structures: caudate, thalamus, pallidum, and putamen. The adoption of supervised classification methods so far has been limited by the need to define a representative training dataset, operation that usually requires the intervention of an operator. In this work the selection of the training data was performed on the subject to be segmented in a fully automated manner by registering probabilistic atlases. Evaluation of automatically trained kNN and PCDA classifiers that combine voxel intensities and spatial coordinates was performed on 20 real datasets selected from two publicly available sources of multispectral magnetic resonance studies. The results demonstrate that atlas-guided training is an effective way to automatically define a representative and reliable training dataset, thus giving supervised methods the chance to successfully segment magnetic resonance brain images without the need for user interaction.