To identify candidate neuroimaging and genetic biomarkers for Alzheimer's disease (AD) and other brain disorders, especially for little-investigated brain diseases, we advocate a data-driven approach which incorporates an adaptive classifier ensemble model acquired by integrating Convolutional Neural Network (CNN) and Ensemble Learning (EL) with Genetic Algorithm (GA), i.e., the CNN-EL-GA method, into Genome-Wide Association Studies (GWAS). Above all, a large number of CNN models as base classifiers were trained using coronal, sagittal, or transverse magnetic resonance imaging slices, respectively, and the CNN models with strong discriminability were then selected to build a single classifier ensemble with the GA for classifying AD, with the help of the CNN-EL-GA method. While the acquired classifier ensemble exhibited the highest generalization capability, the points of intersection were determined with the most discriminative coronal, sagittal, and transverse slices. Finally, we conducted GWAS on the genotype data and the phenotypes, i.e., the gray matter volumes of the top ten most discriminative brain regions, which contained the ten most points of intersection. Six genes of PCDH11X/Y, TPTE2, LOC107985902, MUC16 and LINC01621 as well as Single-Nucleotide Polymorphisms, e.g., rs36088804, rs34640393, rs2451078, rs10496214, rs17016520, rs2591597, rs9352767 and rs5941380, were identified. This approach overcomes the limitations associated with the impact of subjective factors and dependence on prior knowledge while adaptively achieving more robust and effective candidate biomarkers in a data-driven way. The approach is promising to facilitate discovering effective candidate genetic biomarkers for brain disorders, as well as to help improve the effectiveness of identified candidate neuroimaging biomarkers for brain diseases.