This paper studies a new machine learning strategy called co-transfer learning. Unlike many previous learning problems, we focus on how to use labeled data of different feature spaces to enhance the classification of different learning spaces simultaneously. For instance, we make use of both labeled images and labeled text data to help learn models for classifying image data and text data together. An important component of co-transfer learning is to build different relations to link different feature spaces, thus knowledge can be co-transferred across different spaces. Our idea is to model the problem as a joint transition probability graph. The transition probabilities can be constructed by using the intra-relationships based on affinity metric among instances and the inter-relationships based on co-occurrence information among instances from different spaces. The proposed algorithm computes ranking of labels to indicate the importance of a set of labels to an instance by propagating the ranking score of labeled instances via the random walk with restart. The main contribution of this paper is to (i) propose a co-transfer learning (CT-Learn) framework that can perform learning simultaneously by co-transferring knowledge across different spaces; (ii) show the theoretical properties of the random walk for such joint transition probability graph so that the proposed learning model can be used effectively; (iii) develop an efficient algorithm to compute ranking scores and generate the possible labels for a given instance. Experimental results on benchmark data (image-text and English-Chinese-French classification data sets) have shown that the proposed algorithm is computationally efficient, and effective in learning across different spaces. In the comparison, we find that the classification performance of the CT-Learn algorithm is better than those of the other tested transfer learning algorithms.