The identification of therapeutic biomarkers predictive of drug response is crucial in personalized medicine. A number of computational models to predict response of anti-cancer drugs have been developed as the establishment of several pharmacogenomics screening databases. In our study, we proposed a deep cascaded forest model, Deep-Resp-Forest, to classify the anti-cancer drug response as ‘sensitive’ or ‘resistant’. We made three contributions in this study. Firstly, diverse molecular data could be effectively integrated to provide more information than single type of data for the classification. Combination of two types of data were tested here. Secondly, two structures based on the multi-grained scanning to transform the raw features into high-dimensional feature vectors and integrate the diverse data were proposed in our study. Thirdly, the original deep and time-consuming architecture of cascade forest was improved by a feature optimization operation, which emphasized the most discriminative features across layers. We evaluated the proposed method on the Cancer Cell Line Encyclopedia (CCLE) and Genomics of Drug Sensitivity in Cancer (GDSC) data sets and then compared with the Support Vector Machine. The proposed Deep-Resp-Forest has demonstrated the promising use of deep learning and deep forest approach on the drug response prediction tasks. The R implementation for running our experiments is available at https://github.com/RanSuLab/Deep-Resp-Forest.