Objective. The choroid is the most vascularized structure in the human eye, whose layer structure and vessel distribution are both critical for the physiology of the retina, and disease pathogenesis of the eye. Although some works have used graph-based methods or convolutional neural networks to separate the choroid layer from the outer-choroid structure, few works focused on further distinguishing the inner-choroid structure, such as the choroid vessel and choroid stroma. Approach. Inspired by the multi-task learning strategy, in this paper, we propose a segmentation pipeline for choroid analysis which can separate the choroid layer from other structures and segment the choroid vessel synergistically. The key component of this pipeline is the proposed choroidal U-shape network (CUNet), which catches both correlation features and specific features between the choroid layer and the choroid vessel. Then pixel-wise classification is generated based on these two types of features to obtain choroid layer segmentation and vessel segmentation. Besides, the training process of CUNet is supervised by a proposed adaptive multi-task segmentation (AMS) loss which adds a regularization term that is used to balance the performance of the two tasks. Main results. Experiments show the high performance (4% higher dice score) and less computational complexity (18.85M lower size) of our proposed strategy. Significance. The high performance and generalization on both choroid layer and vessel segmentation indicate the clinical potential of our proposed pipeline.