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The success of deep convolutional neural networks is partially attributed to the massive amount of annotated training data. However, in practice, medical data annotations are usually expensive and time-consuming to be obtained. Considering multi-modality data with the same anatomic structures are widely available in clinic routine, in this paper, we aim to exploit the prior knowledge (e.g., shape priors) learned from one modality (aka., assistant modality) to improve the segmentation performance on another modality (aka., target modality) to make up annotation scarcity. To alleviate the learning difficulties caused by modality-specific appearance discrepancy, we first present an Image Alignment Module (IAM) to narrow the appearance gap between assistant and target modality data.We then propose a novel Mutual Knowledge Distillation (MKD) scheme to thoroughly exploit the modality-shared knowledge to facilitate the target-modality segmentation. To be specific, we formulate our framework as an integration of two individual segmentors. Each segmentor not only explicitly extracts one modality knowledge from corresponding annotations, but also implicitly explores another modality knowledge from its counterpart in mutual-guided manner. The ensemble of two segmentors would further integrate the knowledge from both modalities and generate reliable segmentation results on target modality. Experimental results on the public multi-class cardiac segmentation data, i.e., MMWHS 2017, show that our method achieves large improvements on CT segmentation by utilizing additional MRI data and outperforms other state-of-the-art multi-modality learning methods.