Transfer learning in deep convolutional neural networks (DCNNs) is an important step in its application to medical imaging tasks. We propose a multi-task transfer learning DCNN with the aim of translating the ‘knowledge’ learned from non-medical images to medical diagnostic tasks through supervised training and increasing the generalization capabilities of DCNNs by simultaneously learning auxiliary tasks. We studied this approach in an important application: classification of malignant and benign breast masses. With Institutional Review Board (IRB) approval, digitized screen-film mammograms (SFMs) and digital mammograms (DMs) were collected from our patient files and additional SFMs were obtained from the Digital Database for Screening Mammography. The data set consisted of 2242 views with 2454 masses (1057 malignant, 1397 benign). In single-task transfer learning, the DCNN was trained and tested on SFMs. In multi-task transfer learning, SFMs and DMs were used to train the DCNN, which was then tested on SFMs. N -fold cross-validation with the training set was used for training and parameter optimization. On the independent test set, the multi-task transfer learning DCNN was found to have significantly ( p = 0.007) higher performance compared to the single-task transfer learning DCNN. This study demonstrates that multi-task transfer learning may be an effective approach for training DCNN in medical imaging applications when training samples from a single modality are limited.