We study disformal transformations of the metric in the cosmological context. We first consider the disformal transformation generated by a scalar field $phi$ and show that the curvature and tensor perturbations on the uniform $phi$ slicing, on which the scalar field is homogeneous, are non-linearly invariant under the disformal transformation. Then we discuss the transformation properties of the evolution equations for the curvature and tensor perturbations at full non-linear order in the context of spatial gradient expansion as well as at linear order. In particular, we show that the transformation can be described in two typically different ways: one that clearly shows the physical invariance and the other that shows an apparent change of the causal structure. Finally we consider a new type of disformal transformation in which a multi-component scalar field comes into play, which we call a multi-disformal transformation. We show that the curvature and tensor perturbations are invariant at linear order, and also at non-linear order provided that the system has reached the adiabatic limit.