To study mental illness and health, in the past researchers have often broken down their complexity into individual subsystems (e.g., genomics, transcriptomics, proteomics, clinical data) and explored the components independently. Technological advancements and decreasing costs of high throughput sequencing has led to an unprecedented increase in data generation. Furthermore, over the years it has become increasingly clear that these subsystems do not act in isolation but instead interact with each other to drive mental illness and health. Consequently, individual subsystems are now analysed jointly to promote a holistic understanding of the underlying biological complexity of health and disease. Complementing the increasing data availability, current research is geared towards developing novel methods that can efficiently combine the information rich multi-omics data to discover biologically meaningful biomarkers for diagnosis, treatment, and prognosis. However, clinical translation of the research is still challenging. In this review, we summarise conventional and state-of-the-art statistical and machine learning approaches for discovery of biomarker, diagnosis, as well as outcome and treatment response prediction through integrating multi-omics and clinical data. In addition, we describe the role of biological model systems and in silico multi-omics model designs in clinical translation of psychiatric research from bench to bedside. Finally, we discuss the current challenges and explore the application of multi-omics integration in future psychiatric research. The review provides a structured overview and latest updates in the field of multi-omics in psychiatry.