User interest inference from social networks is a fundamental problem to many applications. It usually exhibits dual-heterogeneities: a user's interests are complementarily and comprehensively reflected by multiple social networks; interests are inter-correlated in a nonuniform way rather than independent to each other. Although great success has been achieved by previous approaches, few of them consider these dual-heterogeneities simultaneously. In this work, we propose a structure-constrained multi-source multi-task learning scheme to co-regularize the source consistency and the tree-guided task relatedness. Meanwhile, it is able to jointly learn the task-sharing and task-specific features. Comprehensive experiments on a real-world dataset validated our scheme. In addition, we have released our dataset to facilitate the research communities.