Dairy farmers use herd management systems, behavioral sensors, feeding lists, breeding schedules, and health records to document herd characteristics. Consequently, large amounts of dairy data are becoming available. However, a lack of data integration makes it difficult for farmers to analyze the data on their dairy farm, which indicates that these data are currently not being used to their full potential. Hence, multiple issues in dairy farming such as low longevity, poor performance, and health issues remain. We aimed to evaluate whether machine learning (ML) methods can solve some of these existing issues in dairy farming. This review summarizes peer-reviewed ML papers published in the dairy sector between 2015 and 2020. Ultimately, 97 papers from the subdomains of management, physiology, reproduction, behavior analysis, and feeding were considered in this review. The results confirm that ML algorithms have become common tools in most areas of dairy research, particularly to predict data. Despite the quantity of research available, most tested algorithms have not performed sufficiently for a reliable implementation in practice. This may be due to poor training data. The availability of data resources from multiple farms covering longer periods would be useful to improve prediction accuracies. In conclusion, ML is a promising tool in dairy research, which could be used to develop and improve decision support for farmers. As the cow is a multifactorial system, ML algorithms could analyze integrated data sources that describe and ultimately allow managing cows according to all relevant influencing factors. However, both the integration of multiple data sources and the obtainability of public data currently remain challenging.