Studying quantum phase transitions through order parameters is a traditional method, but studying phase transitions by machine learning is a brand new field. The ability of machine learning to classify, identify, or interpret massive data sets may provide physicists with similar analyses of the exponentially large data sets embodied in the Hilbert space of quantum many-body system. In this work, we propose a method of using unsupervised learning algorithm of the Gaussian mixture model to classify the state vectors of the J ₁- J ₂antiferromagnetic Heisenberg spin chain system, then the supervised learning algorithm of the convolutional neural network is used to identify the classification point given by the unsupervised learning algorithm, and the cross-validation method is adopted to verify the learning effect. Using this method, we study the J ₁- J ₂Heisenberg spin chain system with chain length N= 8, 10, 12, 16 and obtain the same conclusion. The first order phase transition point of J ₁- J ₂antiferromagnetic Heisenberg spin chain system can be accurately found from the ground state vector, but the infinite order phase transition point cannot be found from the ground state vector. The first order and the infinite order phase transition point can be found from the first excited state vector, which indirectly shows that the first excited state may contain more information than the ground state of J ₁- J ₂antiferromagnetic Heisenberg spin chain system. The visualization of the state vector shows the reliability of the machine learning algorithm, which can extract the feature information from the state vector. The result reveals that the machine learning techniques can directly find some possible phase transition points from a large set of state vectorwithout prior knowledge of the energy or locality conditions of the Hamiltonian, which may assists us in studying unknown systems. Supervised learning can verify the phase transition points given by unsupervised learning, thereby indicating that we can discover some useful information about unknown systems only through machine learning techniques. Machine learning techniques can be a basic research tool in strong quantum-correlated systems, and it can be adapted to more complex systems, which can help us dig up hidden information.