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Sketch-based 3D shape retrieval, which returns a set of relevant 3D shapes based on users' input sketch queries, has been receiving increasing attentions in both graphics community and vision community. In this work, we address the sketch-based 3D shape retrieval problem with a novel Cross-Domain Neural Networks (CDNN) approach, which is further extended to Pyramid Cross-Domain Neural Networks (PCDNN) by cooperating with a hierarchical structure. In order to alleviate the discrepancies between sketch features and 3D shape features, a neural network pair that forces identical representations at the target layer for instances of the same class is trained for sketches and 3D shapes respectively. By constructing cross-domain neural networks at multiple pyramid levels, a many-to-one relationship is established between a 3D shape feature and sketch features extracted from different scales. We evaluate the effectiveness of both CDNN and PCDNN approach on the extended large-scale SHREC 2014 benchmark and compare with some other well established methods. Experimental results suggest that both CDNN and PCDNN can outperform state-of-the-art performance, where PCDNN can further improve CDNN when employing a hierarchical structure.