Active learning (AL) aims to improve model performance within a fixed labeling budget by choosing the most informative data points to label. Existing AL focuses on the single-domain setting, where all data come from the same domain (e.g., the same dataset). However, many real-world tasks often involve multiple domains. For example, in visual recognition, it is often desirable to train an image classifier that works across different environments (e.g., different backgrounds), where images from each environment constitute one domain. Such a multi-domain AL setting is challenging for prior methods because they (1) ignore the similarity among different domains when assigning labeling budget and (2) fail to handle distribution shift of data across different domains. In this paper, we propose the first general method, dubbed composite active learning (CAL), for multi-domain AL. Our approach explicitly considers the domain-level and instance-level information in the problem; CAL first assigns domain-level budgets according to domain-level importance, which is estimated by optimizing an upper error bound that we develop; with the domain-level budgets, CAL then leverages a certain instance-level query strategy to select samples to label from each domain. Our theoretical analysis shows that our method achieves a better error bound compared to current AL methods. Our empirical results demonstrate that our approach significantly outperforms the state-of-the-art AL methods on both synthetic and real-world multi-domain datasets. Code is available at https://github.com/Wang-ML-Lab/multi-domain-active-learning.