/ AbstractContext. Spectroscopic surveys like APOGEE, GALAH, and LAMOST have significantly advanced our understanding of the Milky Way by providing extensive stellar parameters and chemical abundances. Complementing these, photometric surveys with narrow/medium-band filters, such as the Southern Photometric Local Universe Survey (S-PLUS), offer the potential to estimate stellar parameters and abundances for a much larger number of stars. Aims. This work develops methodologies to extract stellar atmospheric parameters and selected chemical abundances from S-PLUS photometric data, which spans ~3000 square degrees using seven narrowband and five broadband filters. Methods. Using 66 S-PLUS colors, we estimated parameters based on training samples from LAMOST, APOGEE, and GALAH, applying Cost-Sensitive Neural Networks (NN) and Random Forests (RF). We tested for spurious correlations by including abundances not covered by the S-PLUS filters and evaluated NN and RF performance, with NN consistently outperforming RF. Including Teff and log g as features improved accuracy by ~3%. We retained only parameters with a goodness-of-fit above 50%. Results. Our approach provides reliable estimates of fundamental parameters (Teff, log g, [Fe/H]) and abundance ratios such as [α/Fe], [Al/Fe], [C/Fe], [Li/Fe], and [Mg/Fe] for ~5 million stars, with goodness-of-fit >60%. Additional ratios like [Cu/Fe], [O/Fe], and [Si/Fe] were derived but are less accurate. Validation using star clusters, TESS, and J-PLUS data confirmed the robustness of our methodology. Conclusions. By leveraging S-PLUS photometry and machine learning, we present a cost-effective alternative to high-resolution spectroscopy for deriving stellar parameters and abundances, enabling insights into Milky Way stellar populations and supporting future classification efforts.