Many complex diseases share common genetic determinants and are comorbid in a population. We hypothesized that the co-occurrences of diseases and their overlapping genetic etiology can be exploited to simultaneously improve multiple diseases’ polygenic risk scores (PRS). This hypothesis was tested using a multi-task learning (MTL) approach based on an explainable neural network architecture. We found that parallel estimations of the PRS for 17 prevalent cancers in a pan-cancer MTL model were generally more accurate than independent estimations for individual cancers in comparable single-task learning (STL) models. Such performance improvement conferred by positive transfer learning was also observed consistently for 60 prevalent non-cancer diseases in a pan-disease MTL model. Interpretation of the MTL models revealed significant genetic correlations between the important sets of single nucleotide polymorphisms used by the neural network for PRS estimation. This suggested a well-connected network of diseases with shared genetic basis.