In the present work, a multi-angle approach is adopted to develop two ML-QSPR models for the prediction of the enthalpy of formation and the entropy of molecules, in their ideal gas state. The molecules were represented by high-dimensional vectors of structural and physico-chemical characteristics (i.e., descriptors). In this sense, an overview is provided of the possible methods that can be employed at each step of the ML-QSPR procedure (i.e., data preprocessing, dimensionality reduction and model construction) and an attempt is made to increase the understanding of the effects related to a given choice or method on the model performance, interpretability and applicability domain. At the same time, the well-known OECD principles for the validation of (Q)SAR models are also considered and addressed. The employed data set is a good representation of two common problems in ML-QSPR modeling, namely the high-dimensional descriptor-based representation and the high chemical diversity of the molecules. This diversity effectively impacts the subsequent applicability of the developed models to a new molecule. The data set complexity is addressed through customized data preprocessing techniques and genetic algorithms. The former improves the data quality while limiting the loss of information, while the latter allows for the automatic identification of the most important descriptors, in accordance with a physical interpretation. The best performances are obtained with Lasso linear models (MAE test = 25.2 kJ/mol for the enthalpy and 17.9 J/mol/K for the entropy). Finally, the overall developed procedure is also tested on various enthalpy and entropy related data sets from the literature to check its applicability to other problems and competing performances are obtained, highlighting that different methods and molecular representations can lead to good performances.