Increased global production of sorghum has the potential to meet many of the demands of a growing human population. Developing automation technologies for field scouting is crucial for long-term and low-cost production. Since 2013, sugarcane aphid (SCA) Melanaphis sacchari (Zehntner) has become an important economic pest causing significant yield loss across the sorghum production region in the United States. Adequate management of SCA depends on costly field scouting to determine pest presence and economic threshold levels to spray insecticides. However, with the impact of insecticides on natural enemies, there is an urgent need to develop automated-detection technologies for their conservation. Natural enemies play a crucial role in the management of SCA populations. These insects, primary coccinellids, prey on SCA and help to reduce unnecessary insecticide applications. Although these insects help regulate SCA populations, the detection and classification of these insects is time-consuming and inefficient in lower value crops like sorghum during field scouting. Advanced deep learning software provides a means to perform laborious automatic agricultural tasks, including detection and classification of insects. However, deep learning models for coccinellids in sorghum have not been developed. Therefore, our objective was to develop and train machine learning models to detect coccinellids commonly found in sorghum and classify them according to their genera, species, and subfamily level. We trained a two-stage object detection model, specifically, Faster Region-based Convolutional Neural Network (Faster R-CNN) with the Feature Pyramid Network (FPN) and also one-stage detection models in the YOLO (You Only Look Once) family (YOLOv5 and YOLOv7) to detect and classify seven coccinellids commonly found in sorghum (i.e., Coccinella septempunctata, Coleomegilla maculata, Cycloneda sanguinea, Harmonia axyridis, Hippodamia convergens, Olla v-nigrum, Scymninae). We used images extracted from the iNaturalist project to perform training and evaluation of the Faster R-CNN-FPN and YOLOv5 and YOLOv7 models. iNaturalist is an imagery web server used to publish citizen's observations of images pertaining to living organisms. Experimental evaluation using standard object detection metrics, such as average precision (AP), AP@0.50, etc., has shown that the YOLOv7 model performs the best on the coccinellid images with an AP@0.50 as high as 97.3, and AP as high as 74.6. Our research contributes automated deep learning software to the area of integrated pest management, making it easier to detect natural enemies in sorghum.