Abstract: Indicator selection has been a compelling problem in data envelopment analysis. With the advent of the big data era, scholars are faced with more complex indicator selection situations. The boom in machine learning presents an opportunity to address this problem. However, poor quality indicators may be selected if inappropriate methods are used in overfitting or underfitting scenarios. To date, some scholars have pioneered the use of the least absolute shrinkage and selection operator to select indicators in overfitting scenarios, but researchers have not proposed classifying the big data scenarios encountered by DEA into overfitting and underfitting scenarios, nor have they attempted to develop a complete indicator selection system for both scenarios. To fill these research gaps, this study employs machine learning methods and proposes a mean score approach based on them. Our Monte Carlo simulations show that the least absolute shrinkage and selection operator dominates in overfitting scenarios but fails to select good indicators in underfitting scenarios, while the ensemble methods are superior in underfitting scenarios, and the proposed mean approach performs well in both scenarios. Based on the strengths and limitations of the different methods, a smart indicator selection mechanism is proposed to facilitate the selection of DEA indicators.