Computer-aided diagnosis (CAD) is an attractive topic in Alzheimer's disease (AD) research. Many algorithms are based on a relatively large training dataset. However, small hospitals are usually unable to collect sufficient training samples for robust classification. Although data sharing is expanding in scientific research, it is unclear whether a model based on one dataset is well suited for other data sources. Using a small dataset from a local hospital and a large shared dataset from the Alzheimer's Disease Neuroimaging Initiative (ADNI), we conducted a heterogeneity analysis and found that different functional magnetic resonance imaging (fMRI) data sources show different sample distributions in feature space. In addition, we proposed an effective knowledge transfer method to diminish the disparity among different datasets and improve the classification accuracy on datasets with insufficient training samples. The accuracy increased by approximately 20% compared with that of a model based only on the original small dataset. The results demonstrated that the proposed approach is a novel and effective method for CAD in hospitals with only small training datasets. It solved the challenge of limited sample size in detection of AD, which is a common issue but lack of adequate attention. Furthermore, the paper sheds new light on effective use of multi-source data for neurological disease diagnosis.