The development of synoptic sky surveys has led to a massive amount of data for which resources needed for analysis are beyond human capabilities. To process this information and to extract all possible knowledge, machine learning techniques become necessary. Here we present a new method to automatically discover unknown variable objects in large astronomical catalogs. With the aim of taking full advantage of all the information we have about known objects, our method is based on a supervised algorithm. In particular, we train a random forest classifier using known variability classes of objects and obtain votes for each of the objects in the training set. We then model this voting distribution with a Bayesian network and obtain the joint voting distribution among the training objects. Consequently, an unknown object is considered as an outlier insofar it has a low joint probability. Our method is suitable for exploring massive datasets given that the training process is performed offline. We tested our algorithm on 20 millions light-curves from the MACHO catalog and generated a list of anomalous candidates. We divided the candidates into two main classes of outliers: artifacts and intrinsic outliers. Artifacts were principally due to air mass variation, seasonal variation, bad calibration or instrumental errors and were consequently removed from our outlier list and added to the training set. After retraining, we selected about 4000 objects, which we passed to a post analysis stage by perfoming a cross-match with all publicly available catalogs. Within these candidates we identified certain known but rare objects such as eclipsing Cepheids, blue variables, cataclysmic variables and X-ray sources. For some outliers there were no additional information. Among them we identified three unknown variability types and few individual outliers that will be followed up for a deeper analysis.