Systemic lupus erythematosus and primary Sjogren's syndrome are complex systemic autoimmune diseases that are often misdiagnosed. In this article, we demonstrate the potential of machine learning to perform differential diagnosis of these similar pathologies using gene expression and methylation data from 651 individuals. Furthermore, we analyzed the impact of the heterogeneity of these diseases on the performance of the predictive models, discovering that patients assigned to a specific molecular cluster are misclassified more often and affect to the overall performance of the predictive models. In addition, we found that the samples characterized by a high interferon activity are the ones predicted with more accuracy, followed by the samples with high inflammatory activity. Finally, we identified a group of biomarkers that improve the predictions compared to using the whole data and we validated them with external studies from other tissues and technological platforms.