Imaging genetics is a methodology for discovering associations between imaging and genetic variables. Many studies adopted sparse models such as sparse canonical correlation analysis (SCCA) for imaging genetics. These methods are limited to modeling the linear imaging genetics relationship and cannot capture the non-linear high-level relationship between the explored variables. Deep learning approaches are underexplored in imaging genetics, compared to their great successes in many other biomedical domains such as image segmentation and disease classification. In this work, we proposed a deep learning model to select genetic features that can explain the imaging features well. Our empirical study on simulated and real datasets demonstrated that our method outperformed the widely used SCCA method and was able to select important genetic features in a robust fashion. These promising results indicate our deep learning model has the potential to reveal new biomarkers to improve mechanistic understanding of the studied brain disorders.