First Episode Psychosis (FEP) patients are of particular interest for neuroimaging investigations because of the absence of confounding effects due to medications and chronicity. Nonetheless, imaging data are prone to heterogeneity because for example of age, gender or parameters settings differences. With this work, we wanted to take into account possible nuisance effects of age and gender difference across dataset, not correcting the data as a pre-processing step, but including the effect of nuisance covariates in the classification phase. To this aim, we developed a method which, based on Multiple Kernel Learning (MKL), exploits the effect of these confounding variables with a subject-depending kernel weighting procedure. We applied this method to a dataset of cortical thickness obtained from structural magnetic resonance images (MRI) of 127 FEP patients and 127 healthy controls, who underwent either a 3 Tesla (T) or a 1.5T MRI acquisition. We obtained good accuracies, notably better than those obtained with standard SVM or MKL methods, up to more than 80% for frontal and temporal areas. To our best knowledge, this is the largest classification study in FEP population, showing that fronto-temporal cortical thickness can be used as a potential marker to classify patients with psychosis.