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The empirical classification of gamma-ray bursts (GRBs) into long and short GRBs based on their durations is already firmly established. This empirical classification is generally linked to the physical classification of GRBs originating from compact binary mergers and GRBs originating from massive star collapses, or Type I and II GRBs, with the majority of short GRBs belonging to Type I and the majority of long GRBs belonging to Type II. However, there is a significant overlap in the duration distributions of long and short GRBs. Furthermore, some intermingled GRBs, i.e., short-duration Type II and long-duration Type I GRBs, have been reported. A multi-parameter classification scheme of GRBs is evidently needed. In this paper, we seek to build such a classification scheme with supervised machine learning methods, chiefly XGBoost. We utilize the GRB Big Table and Greiner's GRB catalog and divide the input features into three subgroups: prompt emission, afterglow, and host galaxy. We find that the prompt emission subgroup performs the best in distinguishing between Type I and II GRBs. We also find the most important distinguishing feature in prompt emission to be T_{90}, hardness ratio, and fluence. After building the machine learning model, we apply it to the currently unclassified GRBs to predict their probabilities of being either GRB class, and we assign the most probable class of each GRB to be its possible physical class.