Few-shot sequence labeling faces a unique challenge compared with the other fewshot classification problems, owing to the necessity for modeling the dependencies between labels. Different domains often have different label sets, which makes it difficult to directly utilize the label dependencies learned from one domain in another domain. In this paper, we introduce the dependency transfer mechanism that addresses such label-discrepancy problem. The dependency transfer mechanism learns the abstract label transition patterns from the source domains and generalizes such patterns in the target domain to benefit the prediction of a label sequence. We also develop the sequence matching network by adapting the matching network to sequence labeling case. Moreover, we propose a CRF-based few-shot sequence labeling framework to integrate both the dependency transfer mechanism and the sequence matching network. Experiments on slot tagging (ST) and named entity recognition (NER) datasets show that our model significantly outperforms the strongest few-shot learning baseline by 7.96 and 11.70 F1 scores respectively in the 1-shot setting.