Identifying risk genes associated with complex traits remains challenging. Integrating gene expression data with Genome-Wide Association Study (GWAS) through Transcriptome-Wide Association Study (TWAS) methods has discovered candidate risk genes for various complex traits. Splicing, which explains a comparable heritability of complex traits as gene expression, is under-explored due to its multidimensionality. To leverage multiple splicing events in a gene and shared splicing across tissues, we develop Multi-tissue Splicing Gene (MTSG), which employs tensor decomposition and sparse Canonical Correlation Analysis (sCCA) to extract meaningful information from high-dimensional multiple splicing events across multiple tissues. We build MTSG models using GTEx data and apply them to GWAS summary statistics of Alzheimer's disease (AD) (111,326 cases and 677,663 controls) and schizophrenia (SCZ) (36,989 cases and 113,075 controls). We identify 174 and 497 significant splicing-mediated risk genes for AD and SCZ, respectively, at Bonferroni correction. For AD, our results demonstrate significant enrichment of AD related pathways and identify additional AD risk genes not detected in the single-tissue analysis, while preserving most top genes identified in the brain frontal cortex. Consistently, for SCZ, genes identified by our brain-wide MTSG model, built from a cluster of 13 brain tissues, exhibit stronger enrichment in SCZ-relevant genes and MTSG identifies unique SCZ risk genes compared to single-tissue models. These results showcase that our MTSG models capture distinctive splicing events across tissues, which might be overlooked when using single tissue alone. Our MTSG models can be applied to other complex traits to help identify splicing-mediated disease risk genes.