Intersectional multilevel analysis of individual heterogeneity and discriminatory accuracy (I-MAIHDA) is an innovative approach for investigating inequalities, including intersectional inequalities in health, disease, psychosocial, socioeconomic, and other outcomes. I-MAIHDA and related MAIHDA approaches have conceptual and methodological advantages over conventional single-level regression analysis. By enabling the study of inequalities produced by numerous interlocking systems of marginalization and oppression, and by addressing many of the limitations of studying interactions in conventional analyses, intersectional MAIHDA provides a valuable analytical tool in social epidemiology, health psychology, precision medicine and public health, environmental justice, and beyond. The approach allows for estimation of average differences between intersectional strata (stratum inequalities), in-depth exploration of interaction effects, as well as decomposition of the total individual variation (heterogeneity) in individual outcomes within and between strata.