Self-training approaches recently achieved promising results in cross-domain object detection, where people iteratively generate pseudo labels for unlabeled target domain samples with a model, and select high-confidence samples to refine the model. In this work, we reveal that the consistency of classification and localization predictions are crucial to measure the quality of pseudo labels, and propose a new Harmonious Teacher approach to improve the self-training for cross-domain object detection. In particular, we first propose to enhance the quality of pseudo labels by regularizing the consistency of the classification and localization scores when training the detection model. The consistency losses are defined for both labeled source samples and the unlabeled target samples. Then, we further remold the traditional sample selection method by a sample reweighing strategy based on the consistency of classification and localization scores to improve the ranking of predictions. This allows us to fully exploit all instance predictions from the target domain without abandoning valuable hard examples. Without bells and whistles, our method shows superior performance in various cross-domain scenarios compared with the state-of-the-art baselines, which validates the effectiveness of our Harmonious Teacher. Our codes will be available at https://github.com/kinredon/Harmonious-Teacher.