The Transcriptome-Wide Association Study (TWAS) is a widely used approach which integrates gene expression and Genome Wide Association Study (GWAS) data to study the role of cis-regulated gene expression (GEx) in complex traits. However, the genetic architecture of GEx varies across populations, and recent findings point to possible ancestral heterogeneity in the effects of GEx on complex traits, which may be amplified in TWAS by modeling GEx as a function of cis-eQTLs. Here, we present a novel extension to TWAS to account for heterogeneity in the effects of cis-regulated GEx which are correlated with ancestry. Our proposed Multi-Ancestry TwaS (MATS) framework jointly analyzes samples from multiple populations and distinguishes between shared, ancestry-specific and/or subject-specific expression-trait associations. As such, MATS amplifies power to detect shared GEx associations over ancestry-stratified TWAS through increased sample sizes, and facilitates the detection of genes with subgroup-specific associations which may be masked by standard TWAS. Our simulations highlight the improved Type-I error conservation and power of MATS compared with competing approaches. Our real data applications to Alzheimer’s disease (AD) case-control genotypes from the Alzheimer’s Disease Sequencing Project (ADSP) and continuous phenotypes from the UK Biobank (UKBB) identify a number of unique gene-trait associations which were not discovered through standard and/or ancestry-stratified TWAS. Ultimately, these findings promote MATS as a powerful method for detecting and estimating significant gene expression effects on complex traits within multi-ancestry cohorts and corroborates the mounting evidence for inter-population heterogeneity in gene-trait associations.