SHOGUN is a machine learning toolbox whose focus is on large scale kernel methods and especially on Support Vector Machines (SVM). It provides a generic SVM object interfacing to several different SVM implementations, all making use of the same underlying, efficient kernel implementations. Apart from SVMs and regression, SHOGUN also features a number of linear methods like Linear Discriminant Analysis (LDA), Linear Programming Machine (LPM), (Kernel) Perceptrons, and algorithms to train hidden Markov models. SHOGUN can be used from within C++, Matlab, R, Octave, and Python.