DNA copy number variations (CNVs) have been shown to be associated with cancer development and progression. The detection of these CNVs has the potential to impact the basic knowledge and treatment of many types of cancers, and can play a role in the discovery and development of molecular-based personalized cancer therapies. One of the most common types of high-resolution chromosomal microarrays is array-based comparative genomic hybridization (aCGH) methods that assay DNA CNVs across the whole genomic landscape in a single experiment. In this article we propose methods to use aCGH profiles to predict disease states. We employ a Bayesian classification model and treat disease states as outcome, and aCGH profiles as covariates in order to identify significant regions of the genome associated with disease subclasses. We propose a principled two-stage method where we first make inferences on the underlying copy number states associated with the aCGH emissions based on hidden Markov model (HMM) formulations to account for serial dependencies in neighboring probes. Subsequently, we infer associations with disease outcomes, conditional on the copy number states, using Bayesian linear variable selection procedures. The selected probes and their effects are parameters that are useful for predicting the disease categories of any additional individuals on the basis of their aCGH profiles. Using simulated datasets, we investigate the method’s accuracy in detecting disease category. Our methodology is motivated by and applied to a breast cancer dataset consisting of aCGH profiles assayed on patients from multiple disease subtypes.