DNA methylation is a crucial regulator of gene transcription and has been linked to various diseases, including autoimmune diseases and cancers. However, diagnostics based on DNA methylation face challenges due to large feature sets and small sample sizes, resulting in overfitting and suboptimal performance. To address these issues, we propose MIRACLE, a novel interpretable neural network that leverages autoencoder-based multi-task learning to integrate multiple datasets and jointly identify common patterns in DNA methylation. MIRACLE's architecture reflects the relationships between methylation sites, genes, and pathways, ensuring biological interpretability and meaningfulness. The network comprises an encoder and a decoder, with a bottleneck layer representing pathway information as the basic unit of heredity. Customized defined MaskedLinear Layer is constrained by site-gene-pathway graph adjacency matrix information, which provides explainability and expresses the site-gene-pathway hierarchical structure explicitly. And from the embedding, there are different multi-task classifiers to predict diseases. Tested on six datasets, including rheumatoid arthritis, systemic lupus erythematosus, multiple sclerosis, inflammatory bowel disease, psoriasis, and type 1 diabetes, MIRACLE demonstrates robust performance in identifying common functions of DNA methylation across different phenotypes, with higher accuracy in prediction dieseases than baseline methods. By incorporating biological prior knowledge, MIRACLE offers a meaningful and interpretable framework for DNA methylation data analysis in the context of autoimmune diseases.