Low-rank tensor decomposition is one of the most effective approaches to reduce the memory and computing requirements of large-size neural networks, enabling their efficient deployment on various hardware platforms. While post-training tensor compression can greatly reduce the cost of inference, uncompressed training still consumes excessive hardware resources, run-time and energy. It is highly desirable to directly train a compact low-rank tensorized model from scratch with a low memory and computational cost. However, this is a very challenging task because it is hard to determine a proper tensor rank a priori, which controls the model complexity and compression ratio in the training process. This paper presents a novel end-to-end framework for low-rank tensorized training of neural networks. We first develop a flexible Bayesian model that can handle various low-rank tensor formats (e.g., CP, Tucker, tensor train and tensor-train matrix) that compress neural network parameters in training. This model can automatically determine the tensor ranks inside a nonlinear forward model, which is beyond the capability of existing Bayesian tensor methods. We further develop a scalable stochastic variational inference solver to estimate the posterior density of large-scale problems in training. Our work provides the first general-purpose rank-adaptive framework for end-to-end tensorized training. Our numerical results on various neural network architectures show orders-of-magnitude parameter reduction and little accuracy loss (or even better accuracy) in the training process.