Using brain imaging quantitative traits (QTs) for identifying genetic risk factors is an important research topic in brain imaging genetics. Many efforts have been made for this task via building linear models between imaging QTs and genetic factors such as single nucleotide polymorphisms (SNPs). To the best of our knowledge, linear models could not fully uncover the complicated relationship due to the loci's elusive and diverse influences on imaging QTs. In this paper, we propose a novel multi-task deep feature selection (MTDFS) method for brain imaging genetics. MTDFS first builds a multi-task deep neural network to model the complicated associations between imaging QTs and SNPs. And then designs a multi-task one-to-one layer and imposes a combined penalty to identify SNPs that make significant contributions. MTDFS can not only extract the nonlinear relationship but also arms the deep neural network with feature selection. We compared MTDFS to multi-task linear regression (MTLR) and single-task DFS (DFS) methods on the real neuroimaging genetic data. The experimental results showed that MTDFS performed better than MTLR and DFS on the QT-SNP relationship identification and feature selection. Thus, MTDFS is powerful for identifying risk loci and could be a great supplement to brain imaging genetics.