Genome-wide association studies (GWAS) provide valuable insights into the genetic architecture of complex traits, yet interpreting their results remains challenging due to the polygenic nature of most traits. Gene set analysis offers a solution by aggregating genetic variants into biologically relevant pathways, enhancing the detection of coordinated effects across multiple genes. In this study, we present and evaluate a gene set prioritization approach utilizing Bayesian Linear Regression (BLR) models to uncover shared genetic components among different phenotypes and facilitate biological interpretation. Through extensive simulations and analyses of real traits, we demonstrate the efficacy of the BLR model in prioritizing pathways for complex traits. Simulation studies reveal insights into the model’s performance under various scenarios, highlighting the impact of factors such as the number of causal genes, proportions of causal variants, heritability, and disease prevalence. Application of both single-trait and multi-trait BLR models to real data, specifically GWAS summary data for type 2 diabetes (T2D) and related phenotypes, identifies significant associations with T2D-related pathways. Furthermore, comparison between single- and multi-trait BLR analyses highlights the superior performance of the multi-trait approach in identifying associated pathways, showcasing increased statistical power when analyzing multiple traits jointly. Additionally, enrichment analysis with integrated data from various public resources supports our results, confirming significant enrichment of diabetes-related genes within the top T2D pathways resulting from the multi-trait analysis. The BLR model’s ability to handle diverse genomic features, perform regularization, conduct variable selection, and integrate information from multiple traits, genders, and ancestries demonstrates its utility in understanding the genetic architecture of complex traits. Our study provides insights into the potential of the BLR model to prioritize gene sets, offering a flexible framework applicable to various datasets. This model presents opportunities for advancing personalized medicine by exploring the genetic underpinnings of multifactorial traits, potentially leading to tailored therapeutic interventions.