Recent development in electronic medical devices or systems has realized the effective collection and documentation of patients’ health in real time. To date, the potential clinical impact of this healthcare data has not been fully realized. Specifically, patients’ health data is heterogenous and sparse in nature, as it is composed of various modalities and is collected on different scales. In addition, processing this data efficiently in a temporal manner to take advantage of its sequential structure remains a barrier for medical records. This dissertation attempts to overcome these challenges by developing machine learning models to classify patient reported outcome (PRO) scores from activity tracker data and predict depression diagnoses based on data from patients’ historical electronic health records (EHR). A temporal model based on hidden Markov models (HMM) is first proposed to classify PRO scores in various categories from human vital signs collected from Fitbit activity trackers. This approach is able to combine various vital signs on difference scales in a single model that tracks changes in PRO scores over time. Second, several end-to-end machine learning models were built to aggregate multimodal EHR data in a single model. A novel hierarchical embedding method achieved superior performance for predicting depression diagnosis, which lays a foundation for addressing the heterogeneity and sparsity of EHR data. Third, an innovative bidirectional sequence learning model with a transformer architecture was developed for representation learning on high dimensional EHR data, demonstrating significantly improved performance over the traditional forward-only method. Finally, methods to improve the interpretability of the aforementioned models have been developed, which is a critical step before clinical deployment. Relative feature importance factors are determined for each vital sign collected from the Fitbit and attention weights are found for each data modality in the sequential EHR data. Extensive experiments and results have demonstrated the effectiveness of these proposed methods. This dissertation provides methodologies that advance modeling and understanding of digital health datasets, which lays the foundation to construct clinical decision support systems in this domain which could potentially lead to early disease detection and intervention.