Feature selection is used to preserve significant properties of data in a compact space. In particular, feature selection is needed in applications, where information comes from multiple heterogeneous high dimensional sources. Data integration, however, is a challenge in itself. In our contribution, we introduce a feature selection framework based on powerful visualisation capabilities of selforganising maps, where the deep structure can be learned in a supervised or unsupervised manner. For a supervised version of the deep SOM, we propose to carry out inference with a linear SVM. A forward-backward procedure helps to converge to an optimal feature set. We show by experiments on real large-scale biomedical data set that the proposed methods embed data in a new compact meaningful representation, allow to visualise biomedical signatures, and also lead to a reasonable classification accuracy compared to the state-of-the-art methods