Machine learning is an application of artificial intelligence that allows systems to automatically learn and improve from experience without being explicitly programmed. The key steps in machine learning involve preprocessing raw data, importing relevant libraries and datasets, handling missing data, splitting data into training and test sets, feature selection and extraction to reduce noise and redundancy, and using techniques like cross validation during testing and training to evaluate and improve the model. Common machine learning algorithms like extreme gradient boosting apply techniques like conditional probability and Bayes' theorem to accurately make predictions from data.