In this paper, a general overview regarding neural recording, classical signal processing techniques and machine learning classification algorithms applied to monitor brain activity is presented. Currently, several approaches classified as electrical, magnetic, neuroimaging recordings and brain stimulations are available to obtain neural activity of the human brain. Among them, non-invasive methods like electroencephalography (EEG) are commonly employed, as they can provide a high degree of temporal resolution (on the order of milliseconds) and acceptable space resolution. In addition, it is simple, quick, and does not create any physical harm or stress to patients. Concerning signal processing, once the neural signals are acquired, different procedures can be applied for feature extraction. In particular, brain signals are normally processed in time, frequency, and/or space domains. The features extracted are then used for signal classification depending on its characteristics such us the mean, variance or band power. The role of machine learning in this regard has become of key importance during the last years due to its high capacity to analyze complex amounts of data. The algorithms employed are generally classified in supervised, unsupervised and reinforcement techniques. A deep review of the most used machine learning algorithms and the advantages/drawbacks of most used methods is presented. Finally, a study of these procedures utilized in a very specific and novel research field of electroencephalography, i.e., autobiographical memory deficits in schizophrenia, is outlined.