Traceability is an important concern in projects that span different engineering domains. In such projects, traceability can be used across the engineering lifecycle and therefore is multi-domain, involving heterogeneous models. We introduce the concept and challenges of multi-domain traceability and explain how it can be used to support traceability scenarios. We describe how to build a multi-domain traceability framework using Model-Driven Engineering. The approach is illustrated in the context of the safety-critical systems engineering domain where multi-domain traceability is required to underpin certification arguments.