Schizophrenia (SCZ), bipolar disorder (BP), and major depressive disorder (MDD) are the most common psychiatric disorders. Because there were lots of overlaps among these disorders from genetic epidemiology and molecular genetics, it is hard to realize the diagnoses of these psychiatric disorders. Currently, plenty of studies have been conducted for contributing to the diagnoses of these diseases. However, constructing a classification model with superior performance for differentiating SCZ, BP, and MDD samples is still a great challenge. In this study, the transcriptomic data was applied for discovering key genes and constructing a classification model. In this dataset, there were 268 samples including four groups (67 SCZ patients, 40 BP patients, 57 MDD patients, and 104 healthy controls), which were applied for constructing a classification model. First, 269 probes of differentially expressed genes (DEGs) among four sample groups were identified by the feature selection method. Second, these DEGs were validated by the literature review including disease relevance with the psychiatric disorders of these DEGs, the hub genes in the PPI (protein-protein interaction) network, and GO (gene ontology) terms and pathways. Third, a classification model was constructed using the identified DEGs by machine learning method to classify different groups. The ROC (receiver operator characteristic) curve and AUC (area under the curve) value were used to assess the classification capacity of the model. In summary, this classification model might provide clues for the diagnoses of these psychiatric disorders.