MSMBuilder is a software package for building statistical models of high-dimensional time-series data. It is designed with a particular focus on the analysis of atomistic simulations of biomolecular dynamics such as protein folding and conformational change. MSMBuilder is named for its ability to construct Markov State Models (MSMs), a class of models that has gained favor among computational biophysicists. In addition to both well-established and newer MSM methods, the package includes complementary algorithms for understanding time-series data such as hidden Markov models (HMMs) and time-structure based independent component analysis (tICA). MSMBuilder boasts an easy to use command-line interface, as well as clear and consistent abstractions through its Python API (application programming interface). MSMBuilder is developed with careful consideration for compatibility with the broader machine-learning community by following the design of scikit-learn. The package is used primarily by practitioners of molecular dynamics but is just as applicable to other computational or experimental time-series measurements.