Parkinson's disease (PD) is a neurodegenerative disorder that progressively hampers the brain functions and leads to various movement and non-motor symptoms. However, it is difficult to attain early-stage PD diagnosis based on the subjective judgment of physicians in clinical routines. Therefore, automatic and accurate diagnosis of PD is highly demanded, so that the corresponding treatment can be implemented more appropriately. In this paper, we focus on finding the most discriminative features from different brain regions in PD through T1-weighted MR images, which can help the subsequent PD diagnosis. Specifically, we proposed a novel iterative canonical correlation analysis (ICCA) feature selection method, aiming at exploiting MR images in a more comprehensive manner and fusing features of different types into a common space. To state succinctly, we first extract the feature vectors from the gray matter and the white matter tissues separately, represented as insights of two different anatomical feature spaces for the subject's brain. The ICCA feature selection method aims at iteratively finding the optimal feature subset from two sets of features that have inherent high correlation with each other. In experiments we have conducted thorough investigations on the optimal feature set extracted by our ICCA method. We also demonstrate that using the proposed feature selection method, the PD diagnosis performance is further improved, and also outperforms many state-of-the-art methods.