Motivation: A central goal of current biology is to establish a complete functional link between the genotype and phenotype, known as the so-called genotype-phenotype map. With the continuous development of high-throughput technology and the decline in sequencing costs, multi-omics analysis has become more widely employed. While this gives us new opportunities to uncover the correlation mechanisms between single-nucleotide polymorphism (SNP), genes, and phenotypes, multi-omics still faces certain challenges, specifically: 1) When the sample size is large enough, the number of omics types is often not large enough to meet the requirements of multi-omics analysis; 2) each omics\' internal correlations are often unclear, such as the correlation between genes in genomics; 3) when analyzing a large number of traits (p), the sample size (n) is often smaller than p, n << p, hindering the application of machine learning methods in the classification of disease outcomes. Results: To solve these issues with multi-omics and build a robust classification model, we propose a graph-embedded deep neural network (G-EDNN) based on expression quantitative trait loci (eQTL) data, which achieves sparse connectivity between network layers to prevent overfitting. The correlation within each omics is also considered such that the model more closely resembles biological reality. To verify the capabilities of this method, we conducted experimental analysis using the GSE28127 and GSE95496 data sets from the Gene Expression Omnibus (GEO) database, tested various neural network architectures, and used prior data for feature selection and graph embedding. Results show that the proposed method could achieve a high classification accuracy and easy-to-interpret feature selection. This method represents an extended application of genotype-phenotype association analysis in deep learning networks.