A cancer of unknown primary (CUP) is a metastatic cancer for which standard diagnostic tests fail to locate the primary cancer. As standard treatments are based on the cancer type, such cases are hard to treat and have very poor prognosis. Using molecular data from the metastatic cancer to predict the primary site can make treatment choice easier and enable targeted therapy. In this article, we first examine the ability to predict cancer type using different types of omics data. Methylation data lead to slightly better prediction than gene expression and both these are superior to classification using somatic mutations. After using 3 data types independently, we notice some differences between the classes that tend to be misclassified, suggesting that integrating the data might improve accuracy. In light of the different levels of information provided by different omics types and to be able to handle missing data, we perform multi-omics classification by hierarchically combining the classifiers. The proposed hierarchical method first classifies based on the most informative type of omics data and then uses the other types of omics data to classify samples that did not get a high confidence classification in the first step. The resulting hierarchical classifier has higher accuracy than any of the single omics classifiers and thus proves that the combination of different data types is beneficial. Our results show that using multi-omics data can improve the classification of cancer types. We confirm this by testing our method on metastatic cancers from the MET500 dataset.