EEG and MEG are the most common noninvasive brain imaging techniques for monitoring the electrical brain activity and inferring the brain function. The central goal of EEG/MEG analysis is to extract informative brain spatio-temporal-spectral patterns or to infer functional connectivity between different brain areas, which are directly useful for neuroscience or clinical investigations. Due to its potentially complex nature (such as nonstationarity, high-dimensionality, subject variability, low signal-to-noise ratio), EEG/MEG signal processing poses some great challenges for researchers. These challenges can be addressed in a principled manner via Bayesian machine learning (BML). BML is an emerging field that integrates Bayesian statistics, variational methods, and machine learning techniques to solve various problems from regression, prediction, outlier detection, feature extraction and classification. BML has recently gained increasing attention and widespread successes in signal processing and big data analytics, such as in source reconstruction, compressed sensing, and information fusion. To review recent advances and to foster new research ideas, we provide a tutorial on several important emerging BML research topics in EEG/MEG signal processing and present representative examples in EEG/MEG applications.