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Domain adaptive image retrieval includes single-domain retrieval and cross-domain retrieval. Most of the existing image retrieval methods only focus on single-domain retrieval, which assumes that the distributions of retrieval databases and queries are similar. However, in practical application, the discrepancies between retrieval databases often taken in ideal illumination/pose/background/camera conditions and queries usually obtained in uncontrolled conditions are very large. In this paper, considering the practical application, we focus on challenging cross-domain retrieval. To address the problem, we propose an effective method named Probability Weighted Compact Feature Learning (PWCF), which provides inter-domain correlation guidance to promote cross-domain retrieval accuracy and learns a series of compact binary codes to improve the retrieval speed. First, we derive our loss function through the Maximum A Posteriori Estimation (MAP): Bayesian Perspective (BP) induced focal-triplet loss, BP induced quantization loss and BP induced classification loss. Second, we propose a common manifold structure between domains to explore the potential correlation across domains. Considering the original feature representation is biased due to the inter-domain discrepancy, the manifold structure is difficult to be constructed. Therefore, we propose a new feature named Histogram Feature of Neighbors (HFON) from the sample statistics perspective. Extensive experiments on various benchmark databases validate that our method outperforms many state-of-the-art image retrieval methods for domain adaptive image retrieval. The source code is available at https://github.com/fuxianghuang1/PWCF