Most existing heterogeneous transfer learning (HTL) methods for cross-language text classification rely on sufficient cross-domain instance correspondences to learn a mapping across heterogeneous feature spaces, and assume that such correspondences are given in advance. However, in practice, correspondences between domains are usually unknown. In this case, extensively manual efforts are required to establish accurate correspondences across multilingual documents based on their content and meta-information. In this paper, we present a general framework to integrate active learning to construct correspondences between heterogeneous domains for HTL, namely HTL through active correspondences construction (HTLA). Based on this framework, we develop a new HTL method. On top of the new HTL method, we further propose a strategy to actively construct correspondences between domains. Extensive experiments are conducted on various multilingual text classification tasks to verify the effectiveness of HTLA.