Relying on deep supervised or self-supervised learning, previous methods for depth completion from paired single image and sparse depth data have achieved impressive performance in recent years. However, facing a new environment where the test data occurs online and differs from the training data in the RGB image content and depth sparsity, the trained model might suffer severe performance drop. To encourage the trained model to work well in such conditions, we expect it to be capable of adapting to the new environment continuously and effectively. To achieve this, we propose MetaComp. It utilizes the meta-learning technique to simulate adaptation policies during the training phase, and then adapts the model to new environments in a self-supervised manner in testing. Considering that the input is multi-modal data, it would be challenging to adapt a model to variations in two modalities simultaneously, due to significant differences in structure and form of the two modal data. Therefore, we further propose to disentangle the adaptation procedure in the basic meta-learning training into two steps, the first one focusing on the depth sparsity while the second attending to the image content. During testing, we take the same strategy to adapt the model online to new multi-modal data. Experimental results and comprehensive ablations show that our MetaComp is capable of adapting to the depth completion in a new environment effectively and robust to changes in different modalities.