I think you've got to look at your world and the story as a whole. Like is there magic, witches, vampires, magical beings, gods etc. because then it's a fantasy. If it's got a lot of tech and futuristic, outer space things going on then sci-fi. Is your story a love story (the main plot about love) - romance then. Is your world set in a historical place (historical) or is the story about murder and solving it (thriller / mystery).
The thing with stories is that they can feel like they fit into all genres. I understand the feeling because it's happened to me before. One thing I do is summarize my story into one sentence - kind of like a tagline. From there it's easy to pick out the main genres.
For example my story Forgotten is about a storyteller travelling with a legend across a magical world to listen to a tale forgotten by many. This is a very simplify version of my story but from it I can see that my story is fantasy (magical world), adventure (journey / quest) and mystery (secret tale).
Hopefully this helps you a little 
But if you have a blurb I would recommend posting it too. Or at least a little about the story. People may be able to help you out and see what genres you should put your story under.
