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We propose to improve unsupervised neural machine translation with cross-lingual supervision (), which utilizes supervision signals from high resource language pairs to improve the translation of zero-source languages. Specifically, for training En-Ro system without parallel corpus, we can leverage the corpus from En-Fr and En-De to collectively train the translation from one language into many languages under one model. % is based on multilingual models which require no changes to the standard unsupervised NMT. Simple and effective, significantly improves the translation quality with a big margin in the benchmark unsupervised translation tasks, and even achieves comparable performance to supervised NMT. In particular, on WMT’14 -tasks achieves 37.6 and 35.18 BLEU score, which is very close to the large scale supervised setting and on WMT’16 -tasks achieves 35.09 BLEU score which is even better than the supervised Transformer baseline.