In the era of big data, it is easy for us collect a huge number of image and text data. However, we frequently face the real-world problems with only small (labeled) data in some domains, such as healthcare and urban computing. The challenge is how to make machine learn algorithms still work well with small data? To solve this challenge, in this tutorial, we will cover the state-of-the-art machine learning techniques to handle small data issue. In particular, we focus on the following three aspects: (1) Providing a comprehensive review of recent advances in exploring the power of knowledge transfer, especially focusing on meta-learning; (2) introducing the cutting-edge techniques of incorporating human/expert knowledge into machine learning models; and (3) identifying the open challenges to data augmentation techniques, such as generative adversarial networks. We believe this is an emerging and potentially high-impact topic in computational data science, which will attract both researchers and practitioners from academia and industry.