As one of the largest e-commerce platforms in the world, Taobao's recommendation systems (RSs) serve the demands of shopping for hundreds of millions of customers. Click-Through Rate (CTR) prediction is a core component of the RS. One of the biggest characteristics in CTR prediction at Taobao is that there exist multiple recommendation domains where the scales of different domains vary significantly. Therefore, it is crucial to perform cross-domain CTR prediction to transfer knowledge from large domains to small domains to alleviate the data sparsity issue. However, existing cross-domain CTR prediction methods are proposed for static knowledge transfer, ignoring that all domains in real-world RSs are continually time-evolving. In light of this, we present a necessary but novel task named Continual Transfer Learning (CTL), which transfers knowledge from a time-evolving source domain to a time-evolving target domain. In this work, we propose a simple and effective CTL model called CTNet to solve the problem of continual cross-domain CTR prediction at Taobao, and CTNet can be trained efficiently. Particularly, CTNet considers an important characteristic in the industry that models has been continually well-trained for a very long time. So CTNet aims to fully utilize all the well-trained model parameters in both source domain and target domain to avoid losing historically acquired knowledge, and only needs incremental target domain data for training to guarantee efficiency. Extensive offline experiments and online A/B testing at Taobao demonstrate the efficiency and effectiveness of CTNet. CTNet is now deployed online in the recommender systems of Taobao, serving the main traffic of hundreds of millions of active users.