In Alzheimer's disease (AD) diagnosis, joint feature selection for predicting disease labels (classification) and estimating cognitive scores (regression) with neuroimaging data has received increasing attention. In this paper, we propose a model named Shared Manifold regularized Joint Feature Selection (SMJFS) that performs classification and regression in a unified framework for AD diagnosis. For classification, unlike the existing works that build least squares regression models which are insufficient in the ability of extracting discriminative information for classification, we design an objective function that integrates linear discriminant analysis and subspace sparsity regularization for acquiring an informative feature subset. Furthermore, the local data relationships are learned according to the samples' transformed distances to exploit the local data structure adaptively. For regression, in contrast to previous works that overlook the correlations among cognitive scores, we learn a latent score space to capture the correlations and employ the latent space to design a regression model with l2,1 -norm regularization, facilitating the feature selection in regression task. Moreover, the missing cognitive scores can be recovered in the latent space for increasing the number of available training samples. Meanwhile, to capture the correlations between the two tasks and describe the local relationships between samples, we construct an adaptive shared graph to guide the subspace learning in classification and the latent cognitive score learning in regression simultaneously. An efficient iterative optimization algorithm is proposed to solve the optimization problem. Extensive experiments on three datasets validate the discriminability of the features selected by SMJFS.