Multi-domain learning (MDL) refers to simultaneously constructing a model or a set of models on datasets collected from different domains. Conventional approaches emphasize domain-shared information extraction and domain-private information preservation, following the shared-private framework (SP models), which offers significant advantages over single-domain learning. However, the limited availability of annotated data in each domain considerably hinders the effectiveness of conventional supervised MDL approaches in real-world applications. In this paper, we introduce a novel method called multi-domain contrastive learning (MDCL) to alleviate the impact of insufficient annotations by capturing both semantic and structural information from both labeled and unlabeled data. Specifically, MDCL comprises two modules: inter-domain semantic alignment and intra-domain contrast. The former aims to align annotated instances of the same semantic category from distinct domains within a shared hidden space, while the latter focuses on learning a cluster structure of unlabeled instances in a private hidden space for each domain. MDCL is readily compatible with many SP models, requiring no additional model parameters and allowing for end-to-end training. Experimental results across five textual and image multi-domain datasets demonstrate that MDCL brings noticeable improvement over various SP models. Furthermore, MDCL can further be employed in multi-domain active learning (MDAL) to achieve a superior initialization, eventually leading to better overall performance.