Quantifying mental states and identifying "statistical biomarkers" of mental disorders from neuroimaging data is an exciting and rapidly growing research area at the intersection of neuroscience and machine learning. Given the focus on gaining better insights about the brain functioning, rather than just learning accurate "black-box" predictors, interpretability and reproducibility of learned models become particularly important in this field. We will discuss promises and limitations of machine learning in neuroimaging, and lessons learned from applying various approaches, from sparse models to deep neural nets, to a wide range of neuroimaging studies involving pain perception, schizophrenia, cocaine addiction and other mental disorders. Moreover, we will also go "beyond the scanner" and discuss some recent work on inferring mental states from relatively cheap and easily collected data, such as speech and wearable sensors, with applications ranging from clinical settings ("computational psychiatry") to everyday life ("augmented human").