RGB cameras excel at capturing rich texture details with high spatial resolution, whereas event cameras offer exceptional temporal resolution and a high dynamic range (HDR). Leveraging their complementary strengths can substantially enhance object tracking under challenging conditions, such as high-speed motion, HDR environments, and dynamic background interference. However, a significant spatio-temporal asymmetry exists between these two modalities due to their fundamentally different imaging mechanisms, hindering effective multi-modal integration. To address this issue, we propose {Hierarchical Asymmetric Distillation} (HAD), a multi-modal knowledge distillation framework that explicitly models and mitigates spatio-temporal asymmetries. Specifically, HAD proposes a hierarchical alignment strategy that minimizes information loss while maintaining the student network's computational efficiency and parameter compactness. Extensive experiments demonstrate that HAD consistently outperforms state-of-the-art methods, and comprehensive ablation studies further validate the effectiveness and necessity of each designed component. The code will be released soon.