Polygenic risk scores (PRS) leverage the genetic contribution of an individual’s genotype to a complex trait by estimating disease risk. Traditional PRS prediction methods are predominantly for the European population. The accuracy of PRS prediction in non-European populations is diminished due to much smaller sample size of genome-wide association studies (GWAS). In this article, we introduced a novel method to construct PRS for non-European populations, abbreviated as TL-Multi, by conducting a transfer learning framework to learn useful knowledge from the European population to correct the bias for non-European populations. We considered non-European GWAS data as the target data and European GWAS data as the informative auxiliary data. TL-Multi borrows useful information from the auxiliary data to improve the learning accuracy of the target data while preserving the efficiency and accuracy. To demonstrate the practical applicability of the proposed method, we applied TL-Multi to predict the risk of systemic lupus erythematosus (SLE) in the Asian population and the risk of asthma in the Indian population by borrowing information from the European population. TL-Multi achieved better prediction accuracy than the competing methods, including Lassosum and meta-analysis in both simulations and real applications.