Machine learning (ML) has become a key tool in astronomy, driving advancements in the analysis and interpretation of complex datasets from observations. This article reviews the application of ML techniques in the identification and classification of stellar objects, alongside the inference of their key astrophysical properties. We highlight the role of both supervised and unsupervised ML algorithms, particularly deep learning models, in classifying stars and enhancing our understanding of essential stellar parameters, such as mass, age, and chemical composition. We discuss ML applications in the study of various stellar objects, including binaries, supernovae, dwarfs, young stellar objects, variables, metal-poor, and chemically peculiar stars. Additionally, we examine the role of ML in investigating star-related interstellar medium objects, such as protoplanetary disks, planetary nebulae, cold neutral medium, feedback bubbles, and molecular clouds.