Abstract Genome-wide association studies (GWAS) have identified thousands of single-nucleotide polymorphisms (SNPs) associated with complex traits, but determining the underlying causal variants remains challenging. Fine mapping aims to pinpoint the potentially causal variants from a large number of correlated SNPs possibly with group structure in GWAS-enriched genomic regions using variable selection approaches. In multi-trait fine mapping, we are interested in identifying the causal variants for multiple related traits. Existing multivariate variable selection methods for fine mapping select variables for all responses without considering the possible heterogeneity across different responses. Here, we develop a novel multivariate Bayesian variable selection method for multi-trait fine mapping to select causal variants from a large number of grouped SNPs that target at multiple correlated and possibly heterogeneous traits. Our new method is featured by its selection at multiple levels, incorporation of prior biological knowledge to guide selection and identification of best subset of traits the variants target at. We showed the advantage of our method over existing methods via comprehensive simulations that mimic typical fine-mapping settings and a real-world fine-mapping example in UK Biobank, where we identified critical causal variants potentially targeting at different subsets of addictive behaviours and risk factors.