The paper contains a review of methodologies of a process of knowledge discovery from data and methods of data exploration (Data Mining), which are the most frequently used in mechanical engineering. The methodologies contain various scenarios of data exploring, while DM methods are used in their scope. The paper shows premises for use of DM methods in industry, as well as their advantages and disadvantages. Development of methodologies of knowledge discovery from data is also presented, along with a classification of the most widespread Data Mining methods, divided by type of realized tasks. The paper is summarized by presentation of selected Data Mining applications in mechanical engineering.