Multi‐omics usually refers to the crossover application of multiple high‐throughput screening technologies represented by genomics, transcriptomics, single‐cell transcriptomics, proteomics and metabolomics, spatial transcriptomics, and so on, which play a great role in promoting the study of human diseases. Most of the current reviews focus on describing the development of multi‐omics technologies, data integration, and application to a particular disease; however, few of them provide a comprehensive and systematic introduction of multi‐omics. This review outlines the existing technical categories of multi‐omics, cautions for experimental design, focuses on the integrated analysis methods of multi‐omics, especially the approach of machine learning and deep learning in multi‐omics data integration and the corresponding tools, and the application of multi‐omics in medical researches (e.g., cancer, neurodegenerative diseases, aging, and drug target discovery) as well as the corresponding open‐source analysis tools and databases, and finally, discusses the challenges and future directions of multi‐omics integration and application in precision medicine. With the development of high‐throughput technologies and data integration algorithms, as important directions of multi‐omics for future disease research, single‐cell multi‐omics and spatial multi‐omics also provided a detailed introduction. This review will provide important guidance for researchers, especially who are just entering into multi‐omics medical research.