Cystic lesions are common lesions of the sellar region with various pathological types, including pituitary apoplexy, Rathke's cleft cyst, cystic craniopharyngioma, etc. Suggested surgical approaches are not unique when dealing with different cystic lesions. However, cystic lesions with different pathological types were hard to differentiate on MRI with the naked eye by doctors. This study aimed to distinguish different pathological types of cystic lesions in the sellar region using preoperative magnetic resonance imaging (MRI). Radiomics and deep learning approaches were used to extract features from gadolinium-enhanced MRIs of 399 patients enrolled at Peking Union Medical College Hospital over the past 15 years. Paired imaging differentiations were performed on four subtypes, including pituitary apoplexy, cystic pituitary adenoma (cysticA), Rathke's cleft cyst, and cystic craniopharyngioma. Results showed that the model achieved an average AUC value of 0.7685. The model based on a support vector machine could distinguish cystic craniopharyngioma from Rathke's cleft cyst with the highest AUC value of 0.8584. However, distinguishing cystic apoplexy from pituitary apoplexy was difficult and almost unclassifiable with any algorithms on any feature set, with the AUC value being only 0.6641. Finally, the proposed methods achieved an average Accuracy of 0.7532, which outperformed the traditional clinical knowledge-based method by about 8%. Therefore, in this study, we first fill the gap in the existing literature and provide a non-invasive method for accurately differentiating between these lesions, which could improve preoperative diagnosis accuracy and help to make surgery plans in clinical work.