Unravelling the regulatory programs from single-cell multi-omics data has long been one of the major challenges in genomics, especially in the current emerging single-cell field. Currently there is a huge gap between fast-growing single-cell multi-omics data and effective methods for the integrative analysis of these inherent sparse and heterogeneous data. In this study, we have developed a novel method, Single-cell Multi-omics Gene co-Regulatory algorithm (SMGR), to detect coherent functional regulatory signals and target genes from the joint single-cell RNA-sequencing (scRNA-seq) and single-cell assay for transposase-accessible chromatin using sequencing (scATAC-seq) data obtained from different samples. Given that scRNA-seq and scATAC-seq data can be captured by zero-inflated Negative Binomial distribution, we utilize a generalized linear regression model to identify the latent representation of consistently expressed genes and peaks, thus enables the identification of co-regulatory programs and the elucidation of regulating mechanisms. Results from both simulation and experimental data demonstrate that SMGR outperforms the existing methods with considerably improved accuracy. To illustrate the biological insights of SMGR, we apply SMGR to mixed-phenotype acute leukemia (MPAL) and identify the MPAL-specific regulatory program with significant peak-gene links, which greatly enhance our understanding of the regulatory mechanisms and potential targets of this complex tumor.