Named Entity Recognition (NER), as a crucial subtask in natural language processing (NLP), suffers from limited labeled samples (a.k.a. few-shot). Meta-learning methods are widely used for few-shot NER, but these existing methods overlook the importance of label dependency for NER, resulting in suboptimal performance. However, applying meta-learning methods to label dependency learning faces a special challenge, that is, due to the discrepancy of label sets in different domains, the label dependencies can not be transferred across domains. In this paper, we propose the Task-adaptive Label Dependency Transfer (TLDT) method to make label dependency transferable and effectively adapt to new tasks by a few samples. TLDT improves the existing optimization-based meta-learning methods by learning general initialization and individual parameter update rule for label dependency. Extensive experiments show that TLDT achieves significant improvement over the state-of-the-art methods.