Cooperative Multi-agent Reinforcement Learning (MARL) has attracted significant attention and played the potential for many real-world applications. Previous arts mainly focus on facilitating the coordination ability from different aspects (e.g., non-stationarity, credit assignment) in single-task or multi-task scenarios, ignoring the stream of tasks that appear in a continual manner. This ignorance makes the continual coordination an unexplored territory, neither in problem formulation nor efficient algorithms designed. Towards tackling the mentioned issue, this paper proposes an approach Multi-Agent Continual Coordination via Progressive Task Contextualization, dubbed MACPro. The key point lies in obtaining a factorized policy, using shared feature extraction layers but separated independent task heads, each specializing in a specific class of tasks. The task heads can be progressively expanded based on the learned task contextualization. Moreover, to cater to the popular CTDE paradigm in MARL, each agent learns to predict and adopt the most relevant policy head based on local information in a decentralized manner. We show in multiple multi-agent benchmarks that existing continual learning methods fail, while MACPro is able to achieve close-to-optimal performance. More results also disclose the effectiveness of MACPro from multiple aspects like high generalization ability.