As a key technology in Integrated Sensing and Communications (ISAC), Wi-Fi sensing has gained widespread application in various settings such as homes, offices, and public spaces. By analyzing the patterns of Channel State Information (CSI), we can obtain information about people's actions for tasks like person identification, gesture recognition, and fall detection. However, the CSI is heavily influenced by the environment, such that even minor environmental changes can significantly alter the CSI patterns. This will cause the performance deterioration and even failure when applying the Wi-Fi sensing model trained in one environment to another. To address this problem, we introduce a K-Nearest Neighbors Maximum Mean Discrepancy (KNN-MMD) model, a few-shot method for cross-domain Wi-Fi sensing. We propose a local distribution alignment method within each category, which outperforms traditional Domain Adaptation (DA) methods based on global alignment. Besides, our method can determine when to stop training, which cannot be realized by most DA methods. As a result, our method is more stable and can be better used in practice. The effectiveness of our method are evaluated in several cross-domain Wi-Fi sensing tasks, including gesture recognition, person identification, fall detection, and action recognition, using both a public dataset and a self-collected dataset. In one-shot scenario, our method achieves accuracy of 93.26%, 81.84%, 77.62%, and 75.30% in the four tasks respectively. To facilitate future research, we will make our code and dataset publicly available upon publication.