Due to the limited availability of paired multi-modal data, multi-modal trackers are typically built by adopting pre-trained RGB models with parameter-efficient fine-tuning modules. However, these fine-tuning methods overlook advanced adaptations for applying RGB pre-trained models and fail to modulate a single specific modality, cross-modal interactions, and the prediction head. To address the issues, we propose to perform Progressive Adaptation for Multi-Modal Tracking (PATrack). This innovative approach incorporates modality-dependent, modality-entangled, and task-level adapters, effectively bridging the gap in adapting RGB pre-trained networks to multi-modal data through a progressive strategy. Specifically, modality-specific information is enhanced through the modality-dependent adapter, decomposing the high- and low-frequency components, which ensures a more robust feature representation within each modality. The inter-modal interactions are introduced in the modality-entangled adapter, which implements a cross-attention operation guided by inter-modal shared information, ensuring the reliability of features conveyed between modalities. Additionally, recognising that the strong inductive bias of the prediction head does not adapt to the fused information, a task-level adapter specific to the prediction head is introduced. In summary, our design integrates intra-modal, inter-modal, and task-level adapters into a unified framework. Extensive experiments on RGB+Thermal, RGB+Depth, and RGB+Event tracking tasks demonstrate that our method shows impressive performance against state-of-the-art methods. Code is available at https://github.com/ouha1998/Learning-Progressive-Adaptation-for-Multi-Modal-Tracking.