Many genetic mutations affecting phenotypes are presumed to do so via altering gene expression in particular cells or tissues, but identifying the specific genes involved has been challenging. A transcriptome-wide association study (TWAS) attempts to identify disease associated genes by first learning a predictive model on an eQTL dataset and then imputing gene expression levels into a larger genome-wide association study (GWAS). Finally, associations between predicted gene expressions and GWAS phenotype are identified. Here, we compared tree-based machine learning (ML) method of random forests (RF) with more widely used linear methods of lasso, ridge, and elastic net regression, for prediction of gene expression. We also developed a multi-task learning extension to RF which simultaneously makes use of information from multiple tissues (RF-MTL) and compared it to a multi-dataset version of lasso, the joint lasso, and to a single tissue RF. We found that for prediction of gene expression, RF, in general, outperformed linear approaches on our chosen eQTL dataset and that multi-tissue methods generally outperformed their single-tissue counterparts, with RF-MTL performing the best. Simulations showed that these benefits generally propagated to the next steps of the analysis, although highlighted that joint lasso had a tendency to erroneously identify genes in one tissue if there existed a disease signal for that gene in another. We tested all four methods on type 1 diabetes (T1D) GWAS and expression data for several immune cells and found that 46 genes were identified by at least one method, though only 7 by all methods. Joint lasso discovered the most T1D-associated genes, including 15 unique to that method, but this may reflect its higher false positive rate due to ''overborrowing'' information across tissues. RF-MTL found more unique associated genes than RF for 3 out 5 tissues. Compared to lasso-based analysis, the RF gene list was more likely to relate to T1D in an analysis of independent data types. We conclude that RF, both single- and multi-task version, is competitive and, for some cell types, superior to linear models conventionally used in the TWAS studies.