We extend Hoeffding's lemma to general-state-space and not necessarily reversible Markov chains. Let $\{X_i\}_{i \ge 1}$ be a stationary Markov chain with invariant measure $π$ and absolute spectral gap $1-λ$, where $λ$ is defined as the operator norm of the transition kernel acting on mean zero and square-integrable functions with respect to $π$. Then, for any bounded functions $f_i: x \mapsto [a_i,b_i]$, the sum of $f_i(X_i)$ is sub-Gaussian with variance proxy $\frac{1+λ}{1-λ} \cdot \sum_i \frac{(b_i-a_i)^2}{4}$. This result differs from the classical Hoeffding's lemma by a multiplicative coefficient of $(1+λ)/(1-λ)$, and simplifies to the latter when $λ= 0$. The counterpart of Hoeffding's inequality for Markov chains immediately follows. Our results assume none of countable state space, reversibility and time-homogeneity of Markov chains and cover time-dependent functions with various ranges. We illustrate the utility of these results by applying them to six problems in statistics and machine learning.