Query Understanding (QU) is a fundamental process in E-commerce search engines by extracting the shopping intents of customers. It usually includes a set of different tasks such as named entity recognization and query classification. Traditional approaches often tackle each task separately by its own network, which leads to excessive workload for development and maintenance as well as increased latency and resource usage in large-scale E-commerce platforms. To tackle these challenges, this paper presents a multi-task learning approach to query understanding at Walmart. We experimented with several state-of-the-art multi-task learning architectures including MTDNN, MMoE, and PLE. Furthermore, we propose a novel large-scale entity-aware multi-task learning model (EAMT)1 by retrieving entities from engagement data as query context to augment the query representation. To the best of our knowledge, there exists no prior work on multi-task learning for E-commerce query understanding. Comprehensive offline experiments are conducted on industry-scale datasets (up to 965M queries) to illustrate the effectiveness of our approach. The results from online experiments show substantial gains in key accuracy and latency metrics. https://github.com/zhiyuanpeng/KDD2023-EAMT