Parkinson's disease (PD) is a major progressive neurodegenerative disorder. Accurate diagnosis of PD is crucial to control the symptoms appropriately. However, its clinical diagnosis mostly relies on the subjective judgment of physicians and the clinical symptoms that often appear late. Recent neuroimaging techniques, along with machine learning methods, provide alternative solutions for PD screening. In this paper, we propose a novel feature selection technique, based on iterative canonical correlation analysis (ICCA), to investigate the roles of different brain regions in PD through T1-weighted MR images. First of all, gray matter and white matter tissue volumes in brain regions of interest are extracted as two feature vectors. Then, a small group of significant features were selected using the iterative structure of our proposed ICCA framework from both feature vectors. Finally, the selected features are used to build a robust classifier for automatic diagnosis of PD. Experimental results show that the proposed feature selection method results in better diagnosis accuracy, compared to the baseline and state-of-the-art methods.