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The recently proposed Multilinear Compressive Learning (MCL) framework combines Multilinear Compressive Sensing and Machine Learning into an end-to-end system that takes into account the multidimensional structure of the signals when designing the sensing and feature synthesis components. The key idea behind MCL is the assumption of the existence of a tensor subspace which can capture the essential features from the signal for the downstream learning task. Thus, the ability to find such a discriminative tensor subspace and optimize the system to project the signals onto that data manifold plays an important role in Multilinear Compressive Learning. In this paper, we propose a novel solution to address both of the aforementioned requirements, i.e., How to find those tensor subspaces in which the signals of interest are highly separable? and How to optimize the sensing and feature synthesis components to transform the original signals to the data manifold found in the first question? In our proposal, the discovery of a high-quality data manifold is conducted by training a nonlinear compressive learning system on the inference task. Its knowledge of the data manifold of interest is then progressively transferred to the MCL components via multi-stage supervised training with the supervisory information encoding how the compressed measurements, the synthesized features, and the predictions should be like. The proposed knowledge transfer algorithm also comes with a semi-supervised adaption that enables compressive learning models to utilize unlabeled data effectively. Extensive experiments demonstrate that the proposed knowledge transfer method can effectively train MCL models to compressively sense and synthesize better features for the learning tasks with improved performances, especially when the complexity of the learning task increases.