Colorectal cancer (CRC) is a molecular and clinically heterogeneous disease. In 2015, the Colorectal Cancer Subtyping Consortium classified CRC into four consensus molecular subtypes (CMS), but these CMS have had little impact on clinical practice. The purpose of this study is to deepen the molecular characterization of CRC. A novel approach, based on probabilistic graphical models (PGM) and sparse k-means-consensus cluster layer analyses, was applied in order to functionally characterize CRC tumors. First, PGM was used to functionally characterize CRC, and then sparse k-means-consensus cluster was used to explore layers of biological information and establish classifications. To this aim, gene expression and clinical data of 805 CRC samples from three databases were analyzed. Three different layers based on biological features were identified: adhesion, immune, and molecular. The adhesion layer divided patients into high and low adhesion groups, with prognostic value. The immune layer divided patients into immune-high and immune-low groups, according to the expression of immune-related genes. The molecular layer established four molecular groups related to stem cells, metabolism, the Wnt signaling pathway, and extracellular functions. Immune-high patients, with higher expression of immune-related genes and genes involved in the viral mimicry response, may benefit from immunotherapy and viral mimicry-related therapies. Additionally, several possible therapeutic targets have been identified in each molecular group. Therefore, this improved CRC classification could be useful in searching for new therapeutic targets and specific therapeutic strategies in CRC disease.