Single-particle traces of the diffusive motion of molecules, cells, or animals are by now routinely measured, similar to stochastic records of stock prices or weather data. Deciphering the stochastic mechanism behind the recorded dynamics is vital in understanding the observed systems. Typically, the task is to decipher the exact type of diffusion and/or to determine the system parameters. The tools used in this endeavor are currently being revolutionized by modern machine-learning techniques. In this Perspective we provide an overview of recently introduced methods in machine-learning for diffusive time series, most notably, those successfully competing in the anomalous diffusion challenge. As such methods are often criticized for their lack of interpretability, we focus on means to include uncertainty estimates and feature-based approaches, both improving interpretability and providing concrete insight into the learning process of the machine. We expand the discussion by examining predictions on different out-of-distribution data. We also comment on expected future developments.