Classification of young stellar objects (YSOs) into different evolutionary stages helps us to understand the formation process of new stars and planetary systems. Such classification has traditionally been based on spectral energy distribution (SED) analysis. An alternative approach is provided by supervised machine learning algorithms, which can be trained to classify large samples of YSOs much faster than via SED analysis. We attempt to classify a sample of Orion YSOs (the parent sample size is 330) into different classes, where each source has already been classified using multiwavelength SED analysis. We used eight different learning algorithms to classify the target YSOs, namely a decision tree, random forest, gradient boosting machine (GBM), logistic regression, naïve Bayes classifier, k -nearest neighbour classifier, support vector machine, and neural network. The classifiers were trained and tested by using a 10-fold cross-validation procedure. As the learning features, we employed ten different continuum flux densities spanning from the near-infrared to submillimetre wavebands ( λ = 3.6 – 870 μ m ). With a classification accuracy of 82% (with respect to the SED-based classes), a GBM algorithm was found to exhibit the best performance. The lowest accuracy of 47% was obtained with a naïve Bayes classifier. Our analysis suggests that the inclusion of the 3.6 μ m and 24 μ m flux densities is useful to maximise the YSO classification accuracy. Although machine learning has the potential to provide a rapid and fairly reliable way to classify YSOs, an SED analysis is still needed to derive the physical properties of the sources (e.g. dust temperature and mass), and to create the labelled training data. The machine learning classification accuracies can be improved with respect to the present results by using larger data sets, more detailed missing value imputation, and advanced ensemble methods (e.g. extreme gradient boosting). Overall, the application of machine learning is expected to be very useful in the era of big astronomical data, for example to quickly assemble interesting target source samples for follow-up studies.