For mental disorders, patients' underlying mental states are non-observed latent constructs which have to be inferred from observed multi-domain measurements such as diagnostic symptoms and patient functioning scores. Additionally, substantial heterogeneity in the disease diagnosis between patients needs to be addressed for optimizing individualized treatment policy in order to achieve precision medicine. To address these challenges, we propose an integrated learning framework that can simultaneously learn patients' underlying mental states and recommend optimal treatments for each individual. This learning framework is based on the measurement theory in psychiatry for modeling multiple disease diagnostic measures as arising from the underlying causes (true mental states). It allows incorporation of the multivariate pre- and post-treatment outcomes as well as biological measures while preserving the invariant structure for representing patients' latent mental states. A multi-layer neural network is used to allow complex treatment effect heterogeneity. Optimal treatment policy can be inferred for future patients by comparing their potential mental states under different treatments given the observed multi-domain pre-treatment measurements. Experiments on simulated data and a real-world clinical trial data show that the learned treatment polices compare favorably to alternative methods on heterogeneous treatment effects, and have broad utilities which lead to better patient outcomes on multiple domains.