Deep learning is successful in providing adequate classification results in the field of traffic classification due to its ability to characterize features. However, malicious traffic captures insufficient data and identity tags, which makes it difficult to reach the data volume required to drive deep learning. The problem of classifying small-sample malicious traffic has gradually become a research hotspot. This paper proposes a small-sample malicious traffic classification method based on deep transfer learning. The proposed DA-Transfer method significantly improves the accuracy and efficiency of the small-sample malicious traffic classification model by integrating both data and model transfer adaptive modules. The data adaptation module promotes the consistency of the distribution between the source and target datasets, which improves the classification performance by adaptive training of the prior model. In addition, the model transfer adaptive module recommends the transfer network structure parameters, which effectively improves the network training efficiency. Experiments show that the average classification accuracy of the DA-Transfer method reaches 93.01% on a small-sample dataset with less than 200 packets per class. The training efficiency of the DA-Transfer model is improved by 20.02% compared to traditional transfer methods.