摘要Deep learning has been increasingly popular in omics data analysis. Recent works incorporating variable selection into deep learning have greatly enhanced the model’s interpretability. However, because deep learning desires a large sample size, the existing methods may result in uncertain findings when the dataset has a small sample size, commonly seen in omics data analysis. With the explosion and availability of omics data from multiple populations/studies, the existing methods naively pool them into one dataset to enhance the sample size while ignoring that variable structures can differ across datasets, which might lead to inaccurate variable selection results. We propose a penalized integrative deep neural network (PIN) to simultaneously select important variables from multiple datasets. PIN directly aggregates multiple datasets as input and considers both homogeneity and heterogeneity situations among multiple datasets in an integrative analysis framework. Results from extensive simulation studies and applications of PIN to gene expression datasets from elders with different cognitive statuses or ovarian cancer patients at different stages demonstrate that PIN outperforms existing methods with considerably improved performance among multiple datasets. The source code is freely available on Github (rucliyang/PINFunc). We speculate that the proposed PIN method will promote the identification of disease‐related important variables based on multiple studies/datasets from diverse origins.