Many works have been devoted to show that Thermodynamics and Statistical Physics can be rigorously deduced from an exact underlying classical Hamiltonian dynamics, and to resolve the related paradoxes. In particular, the concept of equilibrium state and the derivation of Master Equations should result from purely Hamiltonian considerations. In this chapter, we reexamine this problem, following the point of view developed by Kolmogorov more than 60 years ago, in great part known from the work published by Arnold and Avez in 1967. Our setting is a discrete time dynamical system, namely the successive iterations of a measure-preserving mapping on a measure space, generalizing Hamiltonian dynamics in phase space. Using the notion of Kolmogorov entropy and martingale theory, we prove that a coarse-grained description both in space and in time leads to an approximate Master Equation satisfied by the probability distribution of partial histories of the coarse-grained state.