Accurate segmentation of pelvic organs from magnetic resonance (MR) images plays an important role in image-guided radiotherapy. However, it is a challenging task due to inconsistent organ appearances and large shape variations. Fully convolutional network (FCN) has recently achieved state-of-the-art performance in medical image segmentation, but it requires a large amount of labeled data for training, which is usually difficult to obtain in real situation. To address these challenges, we propose a deep learning based semi-supervised learning framework. Specifically, we first train an initial multi-task residual fully convolutional network (FCN) based on a limited number of labeled MRI data. Based on the initially trained FCN, those unlabeled new data can be automatically segmented and some reasonable segmentations (after manual/automatic checking) can be included into the training data to fine-tune the network. This step can be repeated to progressively improve the training of our network, until no reasonable segmentations of new data can be included. Experimental results demonstrate the effectiveness of our proposed progressive semi-supervised learning fashion as well as its advantage in terms of accuracy.