Unsupervised domain adaptation methods have demonstrated superior capabilities in handling the domain shift issue which widely exists in various time series tasks. However, their prominent adaptation performances heavily rely on complex model architectures, posing an unprecedented challenge in deploying them on resource-limited devices for real-time monitoring. Existing approaches, which integrates knowledge distillation into domain adaptation frameworks to simultaneously address domain shift and model complexity, often neglect network capacity gap between teacher and student and just coarsely align their outputs over all source and target samples, resulting in poor distillation efficiency. Thus, in this paper, we propose an innovative framework named Reinforced Cross-Domain Knowledge Distillation (RCD-KD) which can effectively adapt to student's network capability via dynamically selecting suitable target domain samples for knowledge transferring. Particularly, a reinforcement learning-based module with a novel reward function is proposed to learn optimal target sample selection policy based on student's capacity. Meanwhile, a domain discriminator is designed to transfer the domain invariant knowledge. Empirical experimental results and analyses on four public time series datasets demonstrate the effectiveness of our proposed method over other state-of-the-art benchmarks.