Cued Speech (CS) is a visual communication system for the deaf or hearing impaired people. It combines lip movements with hand cues to obtain a complete phonetic repertoire. Current deep learning based methods on automatic CS recognition suffer from a common problem, which is the data scarcity. Until now, there are only two public single speaker datasets for French (238 sentences) and British English (97 sentences). In this work, we propose a cross-modal knowledge distillation method with teacher-student structure, which transfers audio speech information to CS to overcome the limited data problem. Firstly, we pretrain a teacher model for CS recognition with a large amount of open source audio speech data, and simultaneously pretrain the feature extractors for lips and hands using CS data. Then, we distill the knowledge from teacher model to the student model with frame-level and sequence-level distillation strategies. Importantly, for frame-level, we exploit multi-task learning to weigh losses automatically, to obtain the balance coefficient. Besides, we establish a five-speaker British English CS dataset for the first time. The proposed method is evaluated on French and British English CS datasets, showing superior CS recognition performance to the state-of-the-art (SOTA) by a large margin.