This paper proposes a novel robust unit commitment (UC) framework with data-driven disjunctive uncertainty sets for volatile wind power outputs, assisted by machine learning techniques. To flexibly identify the uncertainty space based on wind power forecast error data with disjunctive structures, the uncertainty data are grouped using K-means and density-based spatial clustering of applications with noise following the optimal cluster number determined by the Calinski-Harabasz index. The disjunctive uncertainty sets are constructed accordingly as the union of multiple basic uncertainty sets, including conventional box and budget uncertainty sets, and data-driven uncertainty sets using Dirichlet process mixture model, principal component analysis coupled with kernel density estimation, and support vector clustering. The problem is formulated into a two-stage adaptive robust UC model with data-driven disjunctive uncertainty sets and with a multi-level optimization structure. To facilitate the solution process, a tailored decomposition-based optimization algorithm is developed. The effectiveness of the proposed framework is illustrated using an application on the IEEE 39-bus system. The proposed approach can reduce the price of robustness by 8-38 % compared to the conventional “one-set-fits-all” approaches. Benchmarking with stochastic programming indicates that the proposed framework can achieve the same or better economic performance with over 30 % less computational time.