Nowadays, cardiovascular risk prediction scores are commonly used in primary prevention settings. Estimating the cardiovascular individual risk is of crucial importance for effective patient management and optimal therapy identification, with relevant consequences on secondary prevention settings. To reach this goal, a plethora of risk scores have been developed in the past, most of them assuming that each cardiovascular risk factor is linearly dependent on the outcome. However, the overall accuracy of these methods often remains insufficient to solve the problem at hand. In this scenario, machine learning techniques have repeatedly proved successful in improving cardiovascular risk predictions, being able to capture the non-linearity present in the data. In this concern, we present a detailed discussion concerning the application of classical versus machine learning-based cardiovascular risk scores in the clinical setting. This review aimed to give an overview of the current risk scores based on classical statistical approaches and machine learning techniques applied to predict the risk of several cardiovascular diseases, comparing them, discussing their similarities and differences, and highlighting their main drawbacks to aid the physician having a more critical understanding of these tools.