Understanding genetic mechanism of complex diseases is a serious challenge. Existing methods often neglect the heterogeneity phenomenon of complex diseases, resulting in lack of power or low reproducibility. Addressing heterogeneity when detecting epistatic single nucleotide polymorphisms (SNPs) can enhance the power of association studies and improve prediction performance of complex diseases diagnosis. In this study, we propose a three-stage framework including epistasis detection, clustering and prediction to address both epistasis and heterogeneity of complex diseases based on deep learning method. The epistasis detection stage applies a multi-objective optimization method to find several candidate sets of epistatic SNPs which contribute to different subtypes of complex diseases. Then, a K-means clustering algorithm is used to define subtypes of the case group. Finally, a deep learning model has been trained for disease prediction based on graphics processing unit (GPU). Experimental results on pure and heterogeneous datasets show that our method has potential practicality and can serve as a possible alternative to other methods. Therefore, when epistasis and heterogeneity exist at the same time, our method is especially suitable for diagnosis of complex diseases.