I've been searching for a while, and although it seems Salesforce Einstein works only with Lightning, I could not find any reference for this assumption.
Does Einstein work with salesforce classic?
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The short answer is you will be able to use Einstein with classic but you wont be able to use the lightning components that are provided out of box by einstein package.
You can still access functionality like seeing Lead Score on the record and automatic association of activities but since major of the analytics and the insights prediction UI is lightning component ,it is recommended to use new lightning experience .