Background Associations between childhood asthma phenotypes and genetic, immunological, and environmental factors have been previously established. Yet, strategies to integrate high‐dimensional risk factors from multiple distinct data sets, and thereby increase the statistical power of analyses, have been hampered by a preponderance of missing data and lack of methods to accommodate them. Methods We assembled questionnaire, diagnostic, genotype, microarray, RT‐qPCR, flow cytometry, and cytokine data (referred to as data modalities) to use as input factors for a classifier that could distinguish healthy children, mild‐to‐moderate allergic asthmatics, and nonallergic asthmatics. Based on data from 260 German children aged 4‐14 from our university outpatient clinic, we built a novel multilevel prediction approach for asthma outcome which could deal with a present complex missing data structure. Results The optimal learning method was boosting based on all data sets, achieving an area underneath the receiver operating characteristic curve (AUC) for three classes of phenotypes of 0.81 (95%‐confidence interval (CI): 0.65‐0.94) using leave‐one‐out cross‐validation. Besides improving the AUC, our integrative multilevel learning approach led to tighter CIs than using smaller complete predictor data sets (AUC = 0.82 [0.66‐0.94] for boosting). The most important variables for classifying childhood asthma phenotypes comprised novel identified genes, namely PKN2 (protein kinase N2), PTK2 (protein tyrosine kinase 2), and ALPP (alkaline phosphatase, placental). Conclusion Our combination of several data modalities using a novel strategy improved classification of childhood asthma phenotypes but requires validation in external populations. The generic approach is applicable to other multilevel data‐based risk prediction settings, which typically suffer from incomplete data.