We systematically studied the association between somatic copy number aberration (SCNA), DNA methylation and gene expression using -omic data from The Cancer Genome Atlas (TCGA) on six cancer types: breast cancer, colon cancer, glioblastoma, leukemia, lower-grade glioma and prostate cancer. A major challenge for such integrated study is that the association between DNA methylation and gene expression is severely confounded by tumor purity and cell type composition, which are often unobserved and difficult to estimate. To overcome this challenge, we developed a method to remove confounding effects by calculating the principal components that span the space of the latent factors. Another intriguing findings of our study is that there could be both positive and negative associations between SCNA and DNA methylation, while the CpGs with negative/positive associations with SCNA are often located around CpG islands/ocean, respectively. A joint study of SCNA, DNA methylation, and gene expression suggest that SCNA often affect DNA methylation and gene expression independently.