Accurate diagnosis of psychiatric disorders plays a critical role in improving the quality of life for patients and potentially supports the development of new treatments. Many studies have been conducted on machine learning techniques that seek brain imaging data for specific biomarkers of disorders. These studies have encountered the following dilemma: A direct classification overfits to a small number of high-dimensional samples but unsupervised feature-extraction has the risk of extracting a signal of no interest. In addition, such studies often provided only diagnoses for patients without presenting the reasons for these diagnoses. This study proposed a deep neural generative model of resting-state functional magnetic resonance imaging (fMRI) data. The proposed model is conditioned by the assumption of the subject's state and estimates the posterior probability of the subject's state given the imaging data, using Bayes' rule. This study applied the proposed model to diagnose schizophrenia and bipolar disorders. Diagnostic accuracy was improved by a large margin over competitive approaches, namely classifications of functional connectivity, discriminative/generative models of regionwise signals, and those with unsupervised feature-extractors. The proposed model visualizes brain regions largely related to the disorders, thus motivating further biological investigation.