In a multi-domain, multi-turn spoken language understanding session, information from the history often greatly reduces the ambiguity of the current turn. In this paper, we apply the recurrent neural network (RNN) to exploit contextual information for query domain classification. The Jordan-type RNN directly sends the vector of output distribution to the next query turn as additional input features to the convolutional neural network (CNN). We evaluate our approach against SVM with and without contextual features. On our contextually labeled dataset, we observe a 1.4% absolute (8.3% relative) improvement in classification error rate over the non-contextual SVM, and 0.9% absolute (5.5% relative) improvement over the contextual SVM.