Industrial control systems (ICSs) are widely used in industry, and their security and stability are very important. Once the ICS is attacked, it may cause serious damage. Therefore, it is very important to detect anomalies in ICSs. ICS can monitor and manage physical devices remotely using communication networks. The existing anomaly detection approaches mainly focus on analyzing the security of network traffic or sensor data. However, the behaviors of different domains (e.g., network traffic and sensor physical status) of ICSs are correlated, so it is difficult to comprehensively identify anomalies by analyzing only a single domain. In this paper, an anomaly detection approach based on cross-domain representation learning in ICSs is proposed, which can learn the joint features of multi-domain behaviors and detect anomalies within different domains. After constructing a cross-domain graph that can represent the behaviors of multiple domains in ICSs, our approach can learn the joint features of them by leveraging graph neural networks. Since anomalies behave differently in different domains, we leverage a multi-task learning approach to identify anomalies in different domains separately and perform joint training. The experimental results show that the performance of our approach is better than existing approaches for identifying anomalies in ICSs.