In large-scale online service systems, software changes are inevitable and frequent. Due to importing new code or configurations, changes are likely to incur incidents and destroy user experience. Thus it is essential for engineers to identify bad software changes, so as to reduce the influence of incidents and improve system re- liability. To better understand bad software changes, we perform the first empirical study based on large-scale real-world data from a large commercial bank. Our quantitative analyses indicate that about 50.4% of incidents are caused by bad changes, mainly be- cause of code defect, configuration error, resource contention, and software version. Besides, our qualitative analyses show that the current practice of detecting bad software changes performs not well to handle heterogeneous multi-source data involved in soft- ware changes. Based on the findings and motivation obtained from the empirical study, we propose a novel approach named SCWarn aiming to identify bad changes and produce interpretable alerts accurately and timely. The key idea of SCWarn is drawing support from multimodal learning to identify anomalies from heterogeneous multi-source data. An extensive study on two datasets with various bad software changes demonstrates our approach significantly outperforms all the compared approaches, achieving 0.95 F1-score on average and reducing MTTD (mean time to detect) by 20.4%∼60.7%. In particular, we shared some success stories and lessons learned from the practical usage.