Multi-label classification aims to assign a set of proper labels for each instance, where distance metric learning can help improve the generalization ability of instance-based multi-label classification models. Existing multi-label metric learning techniques work by utilizing pairwise constraints to enforce that examples with similar label assignments should have close distance in the embedded feature space. In this paper, a novel distance metric learning approach for multi-label classification is proposed by modeling structural interactions between instance space and label space. On one hand, compositional distance metric is employed which adopts the representation of a weighted sum of rank-1 PSD matrices based on component bases. On the other hand, compositional weights are optimized by exploiting triplet similarity constraints derived from both instance and label spaces. Due to the compositional nature of employed distance metric, the resulting problem admits quadratic programming formulation with linear optimization complexity w.r.t. the number of training examples. We also derive the generalization bound for the proposed approach based on algorithmic robustness analysis of the compositional metric. Extensive experiments on sixteen benchmark data sets clearly validate the usefulness of compositional metric in yielding effective distance metric for multi-label classification.