Knowledge distillation can be generally divided into offline and online categories according to whether teacher model is pre-trained and persistent during the distillation process. Offline distillation can employ existing models yet always demonstrates inferior performance than online ones. In this paper, we first empirically show that the essential factor for their performance gap lies in the reversed distillation from student to teacher, rather than the training fashion. Offline distillation can achieve competitive performance gain by fine-tuning pre-trained teacher to adapt student with such reversed distillation. However, this fine-tuning process still costs lots of training budgets. To alleviate this dilemma, we propose SHAKE, a simple yet effective SHAdow KnowlEdge transfer framework to bridge offline and online distillation, which trades the accuracy with efficiency. Specifically, we build an extra shadow head on the backbone to mimic the predictions of pre-trained teacher as its shadow. Then, this shadow head is leveraged as a proxy teacher to perform bidirectional distillation with student on the fly. In this way, SHAKE not only updates this student-aware proxy teacher with the knowledge of pre-trained model, but also greatly optimizes costs of augmented reversed distillation. Extensive experiments on classification and object detection tasks demonstrate that our technique achieves state-of-the-art results with different CNNs and Vision Transformer models. Additionally, our method shows strong compatibility with multi-teacher and augmentation strategies by gaining additional performance improvement. Code is made publicly available at https://lilujunai.github.io/SHAKE/.