Electroencephalography (EEG) and functional near-infrared spectroscopy (fNIRS) have potentially complementary characteristics that reflect the electrical and hemodynamic characteristics of neural responses, so EEG-fNIRS-based hybrid brain-computer interface (BCI) is the research hotspots in recent years. However, current studies lack a comprehensive systematic approach to properly fuse EEG and fNIRS data and exploit their complementary potential, which is critical for improving BCI performance. To address this issue, this study proposes a novel multimodal fusion framework based on multi-level progressive learning with multi-domain features. The framework consists of a multi-domain feature extraction process for EEG and fNIRS, a feature selection process based on atomic search optimization, and a multi-domain feature fusion process based on multi-level progressive machine learning. The proposed method was validated on EEG-fNIRS-based motor imagery (MI) and mental arithmetic (MA) tasks involving 29 subjects, and the experimental results show that multi-domain features provide better classification performance than single-domain features, and multi-modality provides better classification performance than single-modality. Furthermore, the experimental results and comparison with other methods demonstrated the effectiveness and superiority of the proposed method in EEG and fNIRS information fusion, it can achieve an average classification accuracy of 96.74% in the MI task and 98.42% in the MA task. Our proposed method may provide a general framework for future fusion processing of multimodal brain signals based on EEG-fNIRS.