Few-shot learning (FSL) aims to recognize novel queries with only a few support samples through leveraging prior knowledge from a base dataset. In this paper, we consider the domain shift problem in FSL and aim to address the domain gap between the support set and the query set. Different from previous cross-domain FSL work (CD-FSL) that considers the domain shift between base and novel classes, the new problem, termed cross-domain cross-set FSL (CDSC-FSL), requires fewshot learners not only to adapt to the new domain, but also to be consistent between different domains within each novel class. To this end, we propose a novel approach, namely stabPA, to learn prototypical compact and cross-domain aligned representations, so that the domain shift and few-shot learning can be addressed simultaneously. We evaluate our approach on two new CDCS-FSL benchmarks built from the Domain-Net and Office-Home datasets respectively. Remarkably, our approach outperforms multiple elaborated baselines by a large margin, e.g., improving 5-shot accuracy by 6.0 points on average on DomainNet. Code is available at https://github.com/WentaoChen0813/CDCS-FSL.