Multivariate methods have the potential to better capture complex relationships that may exist between different biological levels. Multiple Factor Analysis (MFA) is one of the most popular methods to obtain factor scores and measures of discrepancy between data sets. However, singular value decomposition in MFA is based on PCA, which is adequate only if the data is normally distributed, linear or stationary. In addition, including strongly correlated variables can overemphasize the contribution of the estimated components. In this work, we introduced a novel method referred as Independent Multifactorial Analysis (ICA-MFA) to derive relevant features from multiscale data. This method is an extended implementation of MFA, where the component value decomposition is based on Independent Component Analysis. In addition, ICA-MFA incorporates a predictive step based on an Independent Component Regression. We evaluated and compared the performance of ICA-MFA with both, the MFA method and traditional univariate analyses, in a simulation study. We showed how ICA-MFA explained up to 10-fold more variance than MFA and univariate methods. We applied the proposed algorithm in a study of 4057 individuals belonging to the population-based Rotterdam Study with available genetic and neuroimaging data, as well as information about executive cognitive functioning. Specifically, we used ICA-MFA to detect relevant genetic features related to structural brain regions, which in turn were involved, in the mechanisms of executive cognitive function. The proposed strategy makes it possible to determine the degree to which the whole set of genetic and/or neuroimaging markers contribute to the variability of the symptomatology jointly, rather than individually. While univariate results and MFA combinations only explained a limited proportion of variance (less than 2%), our method increased the explained variance (10%) and allowed the identification of significant components that maximize the variance explained in the model. The potential application of the ICA-MFA algorithm constitutes an important aspect of integrating multivariate multiscale data, specifically in the field of Neurogenetics. Keywords: Data integration; ICA-MFA; Imaging genetics; Modelling; Neurogenetics.