There have been recent advances in prediction model research in psychiatry. Several validated prediction models are available to support the diagnosis and prognosis of mental health conditions. Prediction model research is translational in nature and the translation pathway includes well conducted epidemiological studies. These studies provide essential information needed to develop new prediction models. Despite the recent advances in prediction model research in psychiatry, there are still important limitations that hamper translation into health care. Comprehensive and transparent reporting as well as an increased focus on external validation, implementation research and stakeholder involvement may help close the translational gap.