Although the dimension of the entire genome can be extremely large, only a parsimonious set of influential SNPs are correlated with a particular complex trait and are important to the prediction of the trait. Efficiently and accurately selecting these influential SNPs from millions of candidates is in high demand, but poses challenges. We propose a backward elimination iterative distance correlation (BE-IDC) procedure to select the smallest subset of SNPs that guarantees sufficient prediction accuracy, while also solving the unclear threshold issue for traditional feature screening approaches.