We study the important problem of user alignment in e-commerce: to predict whether two online user identities that access an e-commerce site from different devices belong to one real-world person. As input, we have a set of user activity logs from Taobao and some labeled user identity linkages. User activity logs can be modeled using a heterogeneous interaction graph (HIG), and subsequently the user alignment task can be formulated as a semi-supervised HIG embedding problem. HIG embedding is challenging for two reasons: its heterogeneous nature and the presence of edge features. To address the challenges, we propose a novel Heterogeneous Embedding Propagation (HEP) model. The core idea is to iteratively reconstruct a node's embedding from its heterogeneous neighbors in a weighted manner, and meanwhile propagate its embedding updates from reconstruction loss and/or classification loss to its neighbors. We conduct extensive experiments on large-scale datasets from Taobao, demonstrating that HEP significantly outperforms state-of-the-art baselines often by more than 10% in F-scores.