Large-scale industrial recommender systems are usually confronted with computational problems due to the enormous corpus size. To retrieve and recommend the most relevant items to users under response time limits, resorting to an efficient index structure is an effective and practical solution. The previous work Tree-based Deep Model (TDM) \cite{zhu2018learning} greatly improves recommendation accuracy using tree index. By indexing items in a tree hierarchy and training a user-node preference prediction model satisfying a max-heap like property in the tree, TDM provides logarithmic computational complexity w.r.t. the corpus size, enabling the use of arbitrary advanced models in candidate retrieval and recommendation. In tree-based recommendation methods, the quality of both the tree index and the user-node preference prediction model determines the recommendation accuracy for the most part. We argue that the learning of tree index and preference model has interdependence. Our purpose, in this paper, is to develop a method to jointly learn the index structure and user preference prediction model. In our proposed joint optimization framework, the learning of index and user preference prediction model are carried out under a unified performance measure. Besides, we come up with a novel hierarchical user preference representation utilizing the tree index hierarchy. Experimental evaluations with two large-scale real-world datasets show that the proposed method improves recommendation accuracy significantly. Online A/B test results at a display advertising platform also demonstrate the effectiveness of the proposed method in production environments.