Predicting Financial Distress (FD) and shielding companies from reaching that stage is vital, even indispensable for every business. FD, if not attended to on time, ultimately leads to bankruptcy. Prediction variables are essential to forecast the wreckage in the business; however, the prediction is successful when suitable models are used. This study aims to predict FD at three levels: from mild to severe, by applying a machine learning algorithm. The study identifies modern models using the machine learning approach for predicting multi-level FD and summarises the significance of modern models through machine learning technology, to sustain the future development of the economy. The modern models are free from rigid assumptions and have proved to be the best in the prediction of FD. The results show that FD prediction is important at multiple stages. The model’s performance will be high when the best features are selected using the Pearson Correlation and SFS Feature selection approach. Among the ten models used in the study, LightGBM Classifier shows the highest performance of 80.43% accuracy without feature selection. However, with Pearson Correlation Approach and SFS Feature Selection methods, the accuracy is 82.68% and 86.95% respectively. This study has major implications for the stakeholders of the company to take timely decisions on their investment and for the management as a yardstick to check the performance of the business.