In order to better understand cancer as a complex disease with multiple genetic and epigenetic factors, it is vital to model the fundamental biological relationships among these alterations as well as their relationships with important clinical outcomes. We develop an integrative network-based Bayesian analysis (iNET) approach that allows us to jointly analyze multi-platform high-dimensional genomic data in a computationally efficient manner. The iNET approach is formulated as an objective Bayesian model selection problem for Gaussian graphical models to model joint dependencies among platform-specific features using known biological mechanisms. Using both simulated datasets and a glioblastoma (GBM) study from The Cancer Genome Atlas (TCGA), we illustrate the iNET approach via integrating three data types, microRNA, gene expression (mRNA), and patient survival time. We show that the iNET approach has greater power in identifying cancer-related microRNAs than non-integrative approaches based on realistic simulated datasets. In the TCGA GBM study, we found many mRNA-microRNA pairs and microRNAs that are associated with patient survival time, with some of these associations identified in previous studies. The iNET discovers relationships consistent with the underlying biological mechanisms among these variables, as well as identifying important biomarkers that are potentially relevant to patient survival. In addition, we identified some microRNAs that can potentially affect patient survival which are missed by non-integrative approaches.