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We investigate the importances of various dynamical features in predicting the dynamical state (DS) of galaxy clusters, based on the Random Forest (RF) machine learning approach. We use a large sample of galaxy clusters from the Three Hundred Project of hydrodynamical zoomed-in simulations, and construct dynamical features from the raw data as well as from the corresponding mock maps in the optical, X-ray, and Sunyaev-Zel'dovich (SZ) channels. Instead of relying on the impurity based feature importance of the RF algorithm, we directly use the out-of-bag (OOB) scores to evaluate the importances of individual features and different feature combinations. Among all the features studied, we find the virial ratio, $η$, to be the most important single feature. The features calculated directly from the simulations and in 3-dimensions carry more information on the DS than those constructed from the mock maps. Compared with the features based on X-ray or SZ maps, features related to the centroid positions are more important. Despite the large number of investigated features, a combination of up to three features of different types can already saturate the score of the prediction. Lastly, we show that the most sensitive feature $η$ is strongly correlated with the well-known half-mass bias in dynamical modelling. Without a selection in DS, cluster halos have an asymmetric distribution in $η$, corresponding to an overall positive half-mass bias. Our work provides a quantitative reference for selecting the best features to discriminate the DS of galaxy clusters in both simulations and observations.