This paper studies how to find compact state embeddings from high-dimensional Markov state trajectories, where the transition kernel has a small intrinsic rank. In the spirit of diffusion map, we propose an efficient method for learning a low-dimensional state embedding and capturing the process's dynamics. This idea also leads to a kernel reshaping method for more accurate nonparametric estimation of the transition function. State embedding can be used to cluster states into metastable sets, thereby identifying the slow dynamics. Sharp statistical error bounds and misclassification rate are proved. Experiment on a simulated dynamical system shows that the state clustering method indeed reveals metastable structures. We also experiment with time series generated by layers of a Deep-Q-Network when playing an Atari game. The embedding method identifies game states to be similar if they share similar future events, even though their raw data are far different.