Multimodal human action recognition with depth sensors has drawn wide attention, due to its potential applications such as health-care monitoring, smart buildings/home, intelligent transportation, and security surveillance. As one of the obstacles of robust action recognition, sub-actions sharing, especially among similar action categories, makes human action recognition more challenging. This paper proposes a segmental architecture to exploit the relations of sub-actions, jointly with heterogeneous information fusion and Class-privacy Preserved Collaborative Representation (CPPCR) for multi-modal human action recognition. Specifically, a segmental architecture is proposed based on the normalized action motion energy. It models long-range temporal structure over video sequences to better distinguish the similar actions bearing sub-action sharing phenomenon. The sub-action based depth motion and skeleton features are then extracted and fused. Moreover, by introducing within-class local consistency into Collaborative Representation (CR) coding, CPPCR is proposed to address the challenging sub-action sharing phenomenon, learning the high-level discriminative representation. Experiments on four datasets demonstrate the effectiveness of the proposed method.