Traditional neuroimaging studies in Alzheimer’s disease (AD) typically employ independent and pairwise analyses between multimodal data, which treat imaging biomarkers, cognitive measures, and disease status as isolated units. To enhance mechanistic understanding of AD, in this paper, we conduct a new study for identifying imaging biomarkers that are associated with both cognitive measures and AD. To achieve this goal, we propose a new sparse joint classification and regression method. The imaging biomarkers identified by our method are AD-sensitive and cognition-relevant and can help reveal complex relationships among brain structure, cognition and disease status. Using the imaging and cognition data from Alzheimer’s Disease Neuroimaging Initiative database, the effectiveness of the proposed method is demonstrated by clearly improved performance on predicting both cognitive scores and disease status.