Extreme multi-label text classification (XMTC) is an important problem in the era of {\it big data}, for tagging a given text with the most relevant multiple labels from an extremely large-scale label set. XMTC can be found in many applications, such as item categorization, web page tagging, and news annotation. Traditionally most methods used bag-of-words (BOW) as inputs, ignoring word context as well as deep semantic information. Recent attempts to overcome the problems of BOW by deep learning still suffer from 1) failing to capture the important subtext for each label and 2) lack of scalability against the huge number of labels. We propose a new label tree-based deep learning model for XMTC, called AttentionXML, with two unique features: 1) a multi-label attention mechanism with raw text as input, which allows to capture the most relevant part of text to each label; and 2) a shallow and wide probabilistic label tree (PLT), which allows to handle millions of labels, especially for "tail labels". We empirically compared the performance of AttentionXML with those of eight state-of-the-art methods over six benchmark datasets, including Amazon-3M with around 3 million labels. AttentionXML outperformed all competing methods under all experimental settings. Experimental results also show that AttentionXML achieved the best performance against tail labels among label tree-based methods. The code and datasets are available at \url{http://github.com/yourh/AttentionXML} .