Perception of threats is essential for survival. Previous findings suggest that parallel pathways independently relay innate threat signals from different sensory modalities to multiple brain areas, such as the midbrain and hypothalamus, for immediate avoidance. Yet little is known about whether and how multi-sensory innate threat cues are integrated and conveyed from each sensory modality to the amygdala, a critical brain area for threat perception and learning. Here, we report that neurons expressing calcitonin gene-related peptide (CGRP) in the parvocellular subparafascicular nucleus in the thalamus and external lateral parabrachial nucleus in the brainstem respond to multi-sensory threat cues from various sensory modalities and relay negative valence to the lateral and central amygdala, respectively. Both CGRP populations and their amygdala projections are required for multi-sensory threat perception and aversive memory formation. The identification of unified innate threat pathways may provide insights into developing therapeutic candidates for innate fear-related disorders.