Developing algorithmic approaches for the rational design and discovery of materials can enable us to systematically find novel materials, which can have huge technological and social impact. However, such rational design requires a holistic perspective over the full multistage design process, which involves exploring immense materials spaces, their properties, and process design and engineering as well as a techno-economic assessment. The complexity of exploring all of these options using conventional scientific approaches seems intractable. Instead, novel tools from the field of machine learning can potentially solve some of our challenges on the way to rational materials design. Here we review some of the chief advancements of these methods and their applications in rational materials design, followed by a discussion on some of the main challenges and opportunities we currently face together with our perspective on the future of rational materials design and discovery.