Multiple kernel learning (MKL) is a principled way for kernel fusion for various learning tasks such as classification, clustering, and dimensionality reduction. The least absolute shrinkage and selection operator (Lasso) allows computationally efficient feature selection based on the linear dependence between input features and output values. In this paper, we develop a novel MKL model based on a nonlinear Lasso, that is, the Hilbert-Schmidt independence criterion (HSIC) Lasso. In the proposed model, we first propose the HSIC Lasso-based MKL formulation, which has a clear statistical interpretation that minimum redundant kernels with maximum dependence on output labels are found and combined, and also that the global optimal solution can be computed efficiently by solving a Lasso optimization problem. After the optimal kernel is obtained, the support vector machine (SVM) is used to select the prediction hypothesis. It is evident that the proposed MKL is a two-stage kernel learning approach. Extensive experiments on real-world datasets from the UCI benchmark repository validate the superiority of the proposed model in terms of prediction accuracy.