Schizophrenia (SZ) is a complex disease caused by a lot genetic variants, epigenetic and brain region abnormalities. In this study, we adopted a joint nonnegative matrix factorization method to integrate three datasets including single nucleotide polymorphism (SNP), brain activity measured by functional magnetic resonance imaging (fMRI) and DNA Methylation to identify multi-dimensional modules associated with SZ. They are then used to study the coordination between regulatory mechanisms at multiple levels. This method projects multiple types of data onto a common feature space, in which heterogeneous variables with large coefficients on the same projected bases form a multi-dimensional module. The genomic factors in such modules have significant correlations and likely functional associations with brain activities. We applied this method to the real data analysis and identified multi-dimensional modules including SNP, fMRI and DNA methylation sites. These selected biomarkers were finally used to identify genes and voxels, which were confirmed to be significantly associated with SZ.