The Lorenz systemẋ = σ (y − x),ẏ = rx − y − xz,ż = −β z + xy, is completely integrable with two functional independent first integrals when σ = 0 and β , r arbitrary. In this paper, we study the integrability of the Lorenz system when σ , β , r take the remaining values. For the case of σ β = 0, we consider the non-existence of meromorphic first integrals for the Lorenz system, and show that it is not completely integrable with meromorphic first integrals, and furthermore, if 2 (σ + 1) 2 + 4σ (r − 1)/β is not an odd number, then it also dose not admit any meromorphic first integrals and is not integrable in the sense of Bogoyavlensky. For the case of σ = 0, β = 0, we study the existence of formal first integrals and present a necessary condition of the Lorenz system processing a time-dependent formal first integral in the form of Φ(x, y, z) exp(λt).